Monetary environments and international stock returns

Journal of Banking and Finance

Volumn 23, Issue 9, 1999, Pages 1357-1381

  Conover, C Mitchell ^a   Jensen, Gerald R ^b   Johnson, Robert R ^c  

^a UNIVERSITY OF NORTH CAROLINA WILMINGTON   (United States)

^b NORTHERN ILLINOIS UNIVERSITY   (United States)

^c Assoc for Investm Mgmt and Res   (United States)

Author keywords

Discount rate; E52; G14; Monetary policy; Security returns

Indexed keywords

EID: 0037798107     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(99)00007-2     Document Type: Article

References (24)

1. Bekaert G., Hodrick R.J. Characterizing predictable components in excess returns on equity and foreign exchange markets. Journal of Finance. 47:1992;467-509.
2. Bernanke, B., Mishkin, F., 1992. Central bank behavior and the strategy of monetary policy: Observations from six industrialized countries. In: Blanchard Oliver J., Stanley Fischer. (Eds.), NBER Macroeconomics Annual 1992, MIT Press, Cambridge, MA.
3. Breeden D.T. An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics. 7:1979;265-296.
4. Campbell J.Y., Hamao Y. Predictable stock returns in the United States and Japan: A study of long-term capital market integration. Journal of Finance. 47:1992;43-69.
5. Caves R.E., Frankel J.A., Jones R.W. World Trade and Payments. 1990;Scott, Foresman, Glenview, IL.
6. Chan K.C., Foresi S., Lang L.H.P. Does money explain asset returns? Theory and empirical analysis. Journal of Finance. 51:1996;345-361.
7. Chen N., Roll R., Ross S.A. Economic forces and the stock market. Journal of Business. 56:1986;383-403.
8. Cochrane J.H. Production-based asset pricing and the link between stock returns and economic fluctuations. Journal of Finance. 46:1991;209-237.
9. Cook T., Hahn T. The information content of discount rate announcements and their effect on market interest rates. Journal of Money, Credit, and Banking. 20:1988;167-180.
10. Erb C.B., Harvey C.R., Viskanta T.E. Do world markets still serve as a hedge? Journal of Investing. 4:1995;26-42.
11. Fama, E.F., 1990. Stock returns, expected returns, and real activity. 45, 1089-1108.
12. Fama E.F., French K.R. Business conditions and expected returns on stocks and bonds. Journal of Financial Economics. 25:1989;23-50.
13. Harvey C.R. The world price of covariance risk. Journal of Finance. 46:1991;111-157.
14. Jensen G.R., Johnson R.R. An examination of stock price reactions to discount rate changes under alternative monetary policy regimes. Quarterly Journal of Business and Economics. 32:1993;26-51.
15. Jensen G.R., Johnson R.R. Discount rate changes and security returns in the US, 1962-1991. Journal of Banking and Finance. 19:1995;79-95.
16. Jensen G.R., Mercer J.M., Johnson R.R. Business conditions, monetary policy and expected security returns. Journal of Financial Economics. 40:1996;213-237.
17. Kasman B. A comparison of monetary policy operating procedures in six industrial countries. Federal Reserve Bank of New York Quarterly Review. 17:1992;5-24.
18. Lee, F.A., Eng, M., 1975. International Financial Markets, Praeger, New York, NY.
19. Patelis A.D. Stock return predictability: The role of monetary policy. Journal of Finance. 52:1997;1951-1972.
20. Pearce D.K., Roley V.V. Stock prices and economic news. Journal of Business. 58:1985;49-67.
21. Smirlock M., Yawitz J. Asset returns, discount rate changes, and market efficiency. Journal of Finance. 40:1985;1141-1158.
22. Thorbecke W. On stock market returns and monetary policy. Journal of Finance. 52:1997;635-654.
23. Thornton D.L. The information content of discount rate announcements: What is behind the announcement effect? Journal of Banking and Finance. 22:1998;83-108.
24. Waud R. Public interpretation of Federal Reserve discount rate changes: Evidence on the "Announcement Effect" Econometrica. 38:1970;231-250.