Monetary policy and stock returns: Financing constraints and asymmetries in bull and bear markets

被引：59
|
作者：
Jansen, Dennis W. [1 ]
Tsai, Chun-Li [2 ]
机构：
[1] Texas A&M Univ, Dept Econ, College Stn, TX 77843 USA
[2] Natl Cheng Kung Univ, Tainan 70101, Taiwan
来源：
JOURNAL OF EMPIRICAL FINANCE | 2010年 / 17卷 / 05期
关键词：
Stock returns; Monetary policy; Asymmetries; Bear market; Financing constraints; CYCLES; BEHAVIOR;
D O I：
10.1016/j.jempfin.2010.08.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine asymmetries in the impact of monetary policy surprises on stock returns between bull and bear markets in the period 1994 to 2005 We ask how these impacts respond to the relative ability of firms to obtain external finance We find that the impact of a surprise monetary policy in a bear market is large negative and statistically significant and this holds across size decile portfolios The impact of a surprise policy action in a bear market for most industries is significantly greater than the impact of surprise monetary policy in a bull market Controlling for the capacity for external finance stock returns of firms in bear states respond more than firms in bull states Capacity for external finance is more important in a bear market as it partially mitigates the larger impact of monetary policy in a bear market (C) 2010 Elsevier BV All rights reserved
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页码：981 / 990
页数：10
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