Stock prices,firm size,and changes in the federal funds rate target |
| |
| Institution: | 1. Departamento de Estadística, Universidad Carlos III de Madrid, Av. de la Universidad 30, 28911 Leganés, Madrid, Spain;2. Departamento de Estadística e Investigación Operativa, Universidad de Cádiz, Spain;1. Department of Pharmacy and Pharmacology, University of Bath, Bath BA2 7AY, UK;2. Faculty of Pharmacy, University of Damascus, Damascus, Syria;1. Research Center of Finance, Shanghai Business School, China;2. Department of Finance, West Virginia University, Morgantown, WV, United States;3. Department of Economics, Skidmore College, Saratoga Springs, NY, United States;1. American University in Cairo, School of Business, Department of Economics, Cairo, 11835, Egypt;2. Misr International University, Faculty of Business Administration and International Trade, PO Box1 – Postal Code 11341, Cairo, Egypt |
| |
| Abstract: | The Fed targeted the federal funds rate during the period 1974–1979; they returned to that procedure in the late 1980s and have maintained it since then. For both periods, we find that stock prices reacted significantly to unanticipated changes in the federal funds rate target. Consistent with the prediction of imperfect capital market theories, the estimated impact of monetary shocks is significantly larger for small stocks than for big stocks in the late 1970s, when business conditions were typically bad. However, the “size effect” is not present in the 1990s, when business conditions were typically good. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
