Another look at the stock return response to monetary policy actions

DOI10.1093/ROF/RFS050zbMATH Open1417.91467OpenAlexW3125732429MaRDI QIDQ4554098FDOQ4554098

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

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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)

Cited In (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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