Monetary policy and stock price returns

Financial Analysts Journal

Volumn 59, Issue 4, 2003, Pages 26-35

  Durham, J Benson ^a  

^a FEDERAL RESERVE BOARD   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 13844288836     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v59.n4.2543     Document Type: Article

References (16)

1. Buetow, G.W., and R.R. Johnson. 2001. "Mutual Fund Asset Allocation and Federal Reserve Monetary Policy." Journal of Investing, vol. 10, no. 2 (Summer):103-111.
2. Conover, C.M., G.R. Jensen, and R.R. Johnson. 1999a. "Monetary Environments and International Stock Returns." Journal of Banking and Finance, vol. 23, no. 9 (September):1357-81.
3. _. 1999b. "Monetary Conditions and International Investing." Financial Analysts Journal, vol. 55, no. 4 (July/August 1999):38-48.
4. Cook, T., and T. Hahn. 1988. "The Information Content of Discount Rate Announcements and Their Effect on Market Interest Rates." Journal of Money, Credit, and Banking, vol. 20, no. 2 (May):167-180.
5. Durham, J.B. 2000. "Extreme Bound Analysis of Emerging Stock Market Anomalies." Journal of Portfolio Management, vol. 26, no. 3 (Winter):95-103.
6. _. 2001. "Sensitivity Analyses of Anomalies in Developed Stock Markets." Journal of Banking and Finance, vol. 25, no. 8 (August):1503-41.
7. _. 2003. "Does Monetary Policy Affect Stock Prices and Treasury Yields? An Error Correction and Simultaneous Equation Approach." Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System, no. 10 (March): www.federalreserve.gov/pubs/feds/2003/200310/200310abs. html.
8. Fama, E.R., and K.R. French. 1992. "The Cross-Section of Expected Stock Returns." Journal of Finance, vol. 47, no 2 (June):427-465.
9. Greene, W. 1997. Econometric Analysis. 3rd ed. Upper Saddle River, NJ: Prentice Hall.
10. Jensen, G.R., and R.R. Johnson. 1995. "Discount Rate Changes and Security Returns in the U.S., 1962-1991." Journal of Banking and Finance, vol. 19, no. 1 (April):79-95.
11. Jensen, G.R., J.M. Mercer, and R.R. Johnson. 1996. "Business Conditions, Monetary Policy, and Expected Security Returns." Journal of Financial Economics, vol. 40, no. 2 (February):213-237.
12. Kennedy, P. 1998. A Guide to Econometrics. 4th ed. Cambridge: MIT Press.
13. Patelis, A.D. 1997. "Stock Return Predictability and the Role of Monetary Policy." Journal of Finance, vol. 52, no. 5 (December):1951-72.
14. Prais, S., and C. Winsten. 1954. "Trend Estimation and Serial Correlation." Cowles Commission Discussion Paper No. 383, Chicago, IL.
15. Rigobon, R., and B. Sack. 2001. "Measuring the Reaction of Monetary Policy to the Stock Market." Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System, no. 14 (April): www.federalreserve.gov/pubs/feds/2001/200114/200114abs.html
16. Smirlock, M., and J. Yawitz. 1985. "Asset Returns, Discount Rate Changes, and Market Efficiency." Journal of Finance, vol. 40, no. 4 (September):1141-58.