Another Look at the Stock Return Response to Monetary Policy Actions *

@inproceedings{Maio2014AnotherLA,
  title={Another Look at the Stock Return Response to Monetary Policy Actions *},
  author={Paulo Maio},
  year={2014}
}
I analyze the effect of monetary policy actions on the cross-section of equity returns. Based on earlier theoretical work for the monetary transmission mechanism one can argue that changes in monetary policy should produce differentiated effects on firms and stocks with different characteristics. By using different portfolio sorts the results show that the impact of monthly changes in the Federal funds rate is greater for the returns of more financially constrained stocks (e.g., small and value… CONTINUE READING

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