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Financial Constraints, Monetary Policy Shocks, and the Cross-Section of Equity Returns.
- Source :
- Review of Financial Studies; Sep2020, Vol. 33 Issue 9, p4367-4402, 36p
- Publication Year :
- 2020
-
Abstract
- We analyze the impact ofa unanticipated monetary policy changes on the cross-section of U.S. equity returns. Financially constrained firms earn a significantly lower (higher) return following surprise interest rate increases (decreases) as compared to unconstrained firms. This differential return response between constrained and unconstrained firms appears after a delay of 3 to 4 days. Further, unanticipated Federal funds rate increases are associated with a larger decrease in expected cash flow news, but not discount rate news, for constrained firms relative to unconstrained firms. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online. [ABSTRACT FROM AUTHOR]
- Subjects :
- ECONOMIC shock
MONETARY policy
CROSS-sectional method
CASH flow
DISCOUNT prices
Subjects
Details
- Language :
- English
- ISSN :
- 08939454
- Volume :
- 33
- Issue :
- 9
- Database :
- Complementary Index
- Journal :
- Review of Financial Studies
- Publication Type :
- Academic Journal
- Accession number :
- 145383312
- Full Text :
- https://doi.org/10.1093/rfs/hhz140