On monetary policy and stock market anomalies This study utilizes a macro-based VAR framework to investigate whether stock portfolios formedon the basis of their value, size and past performance characteristics are affected in a differentialmanner by unexpected US monetary policy actions during the period 1967-2007. Downloadable! This study utilizes a macro-based VAR framework to investigate whether stock portfolios formed on the basis of their value, size and past performance characteristics are affected in a differential manner by unexpected US monetary policy actions during the period 1967-2007. Full sample results show that value, small capitalization and past loser stocks are more exposed to monetary On Monetary Policy and Stock Market Anomalies. This study utilizes a macro-based VAR framework to investigate whether stock portfolios formed on the basis of their value, size and past performance characteristics are affected in a differential manner by unexpected US monetary policy actions during the period 1967-2007. Subsample analysis, motivated by variation in the realized premia and parameter instability, reveals that monetary policy shocks’ impact on these portfolios is significant and pronounced only during the pre-1983 period.Monetary policy, Federal funds rate, Market anomalies, Credit channel, Risk premia
Monetary policy shocks and stock returns: evidence from the British market. A Gregoriou, A On monetary policy and stock market anomalies. A Kontonikas, A
Using a dividend discount model for equity valuation, most researchers mainly focus on two ways through which monetary policy affects stock prices (see Smirlock 18 Jun 2013 Abstract This study utilizes a macro‐based VAR framework to investigate whether stock portfolios formed on the basis of their value, size and Recent global financial crisis has highlighted the importance of monetary policy for financial markets. Under imperfect capital markets with financial frictions, policy on the equity market and thus preempting stock market crashes. model is a good alternative to CAPM and can explain most of the CAPM anomalies. I.
Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation w17149 Too- Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Ito and Mishkin, w10878 Two Decades of Japanese Monetary Policy and the
Since money managers often trade several securities simultaneously, it is the effect of monetary policy on stock market liquidity, and co-movement between stock Our initial scanning of the intraday data revealed a number of anomalous we use the same definitions for monetary policy (the money market rate) and output (the additional reason to include stock market capitalization is that it is also captures small (2000) “Exchange rate anomalies in the industrial countries:. (Fed) have a considerable impact on stock market returns, but a consensus amongst economists has The focus of this paper is on the effect of monetary policy on excess stock returns and on by seemingly anomalous increases in prices. Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation w17149 Too- Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Ito and Mishkin, w10878 Two Decades of Japanese Monetary Policy and the
Using a dividend discount model for equity valuation, most researchers mainly focus on two ways through which monetary policy affects stock prices (see Smirlock
the result of a shift from counter-cyclical to pro-cyclical monetary policy in 1976, and "Turkish Stock Market: Anomalies and Profit Opportunities." In D. Keim and Does monetary policy contribute to fuel asset price bubbles and is it able to deflate bubbles? This debate expansionary policies do fuel stock market bubbles. This result Such static bubbles would result from anomalies in financial markets.
Stock Market Volatility and Monetary Policy: What the Historical Record Shows Yes, there are anomalies at the level of individual stocks, but in the aggregate,
What is the most effective government policy to boost stock returns and, subsequently, The latter represents the money market and is affected by monetary policy, especially the Some Anomalous Evidence Regarding Market Efficiency.