Another look at the stock return response to monetary policy actions

DOI10.1093/ROF/RFS050MaRDI QIDQ4554098zbMATH OpenOpenAlexFDO

Authors Paulo Maio

Publication date 7 November 2018

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/69b3b0d3db4de9884f950be17a5be37db5d5f159

zbMATH Keywords

equity returnsmonetary policy actionsportfolio sortsVAR specifications

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64) Portfolio theory (91G10)

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(5)

• Monetary policy and stock valuation: structural VAR identification and size effects
• The impact of monetary policy on stock market bubbles and trading behavior: evidence from the lab
• The reaction of stock market returns to unemployment
• Monetary policy and risk-based asset allocation
• New JLS-factor model versus the standard JLS model: a case study on Chinese stock bubbles

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