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Asset Returns, Discount Rate Changes, and Market Efficiency

Citations

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Cited by:

  1. González, Luis Otero & Razia, Alaa & Búa, Milagros Vivel & Sestayo, Rubén Lado, 2019. "Market structure, performance, and efficiency: Evidence from the MENA banking sector," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 84-101.
  2. Daniel L. Thornton, 1996. "The information content of discount rate announcements: what's behind the announcement effect?," Working Papers 1994-032, Federal Reserve Bank of St. Louis.
  3. Mira Farka, 2009. "The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases," Review of Financial Economics, John Wiley & Sons, vol. 18(1), pages 47-55, January.
  4. Rai, Anoop & Seth, Rama & Mohanty, Sunil K., 2007. "The impact of discount rate changes on market interest rates: Evidence from three European countries and Japan," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 905-923, October.
  5. Alexandros Kontonikas & Alexandros Kostakis, 2013. "On Monetary Policy and Stock Market Anomalies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 40(7-8), pages 1009-1042, September.
  6. Asgharian, Hossein & Hess, Wolfgang & Liu, Lu, 2013. "A spatial analysis of international stock market linkages," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4738-4754.
  7. Sellin, Peter, 1998. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Working Paper Series 72, Sveriges Riksbank (Central Bank of Sweden).
  8. Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2012. "The impact of monetary policy decisions on stock returns: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 487-507.
  9. Laopodis, Nikiforos T., 2013. "Monetary policy and stock market dynamics across monetary regimes," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 381-406.
  10. Kaen, Fred R. & Sherman, Heidemarie C. & Tehranian, Hassan, 1997. "The effects of Bundesbank discount and Lombard rate changes on German bank stocks," Journal of Multinational Financial Management, Elsevier, vol. 7(1), pages 1-25, April.
  11. Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2013. "Do monetary policy announcements affect stock prices in emerging market countries? The case of Thailand," Journal of Multinational Financial Management, Elsevier, vol. 23(5), pages 446-469.
  12. Bahram Adrangi & Arjun Chatrath & Joseph Macri & Kambiz Raffiee, 2016. "The US Monetary Base and Major World Equity Markets: An Empirical Investigation," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 49-64, August.
  13. Hakkio, Craig S. & Pearce, Douglas K., 1988. "Discount Rate Policy Under Alternative Operating Regimes: An Empirical Investigation," Department of Economics and Business - Archive 259439, North Carolina State University, Department of Economics.
  14. Shao, Liuguo & Zhang, Hua & Chen, Jinyu & Zhu, Xuehong, 2021. "Effect of oil price uncertainty on clean energy metal stocks in China: Evidence from a nonparametric causality-in-quantiles approach," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 407-419.
  15. Guo, Hui, 2004. "Stock prices, firm size, and changes in the federal funds rate target," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 487-507, September.
  16. Jensen, Gerald R. & Johnson, Robert R., 1995. "Discount rate changes and security returns in the U.S., 1962-1991," Journal of Banking & Finance, Elsevier, vol. 19(1), pages 79-95, April.
  17. Thornton, Daniel L, 2000. "Lifting the Veil of Secrecy from Monetary Policy: Evidence from the Fed's Early Discount Rate Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(2), pages 155-167, May.
  18. Thornton, Daniel L., 2004. "The Fed and short-term rates: Is it open market operations, open mouth operations or interest rate smoothing?," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 475-498, March.
  19. Peter Sellin, 2001. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Journal of Economic Surveys, Wiley Blackwell, vol. 15(4), pages 491-541, September.
  20. Kenneth A. Carow & Glen A. Larsen Jr., 1997. "The Effect Of Fdicia Regulation On Bank Holding Companies," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(2), pages 159-174, June.
  21. Abouwafia, Hashem E. & Chambers, Marcus J., 2015. "Monetary policy, exchange rates and stock prices in the Middle East region," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 14-28.
  22. Wang, Brian Yutao & Li, Shuo & Liu, Guangqiang & Yang, Zhiqing, 2021. "Running out of energy: The Price effect of energy deficiency," Energy Economics, Elsevier, vol. 100(C).
  23. Kroon, E.P., 1991. "Bond market efficiency : some Dutch evidence," Serie Research Memoranda 0045, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  24. Nikiforos Laopodis, 2010. "Dynamic linkages between monetary policy and the stock market," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 271-293, October.
  25. Prather, Laurie & Bertin, William J., 1997. "A simple and effective trading rule for individual investors," Financial Services Review, Elsevier, vol. 6(4), pages 285-294.
  26. Machava, Agostinho & Brännäs, Kurt, 2015. "Mozambican Monetary Policy and the Yield Curve of Treasury Bills - An Empirical Study," Umeå Economic Studies 918, Umeå University, Department of Economics.
  27. Gasbarro, Dominic & Monroe, Gary S., 2004. "The impact of monetary policy candidness on Australian financial markets," Journal of Multinational Financial Management, Elsevier, vol. 14(1), pages 35-46, February.
  28. Su-Jane Chen & Ming-Hsiang Chen, 2009. "Discount Rate Changes and Market Timing: A Multinational Study," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 329-349, November.
  29. Opeyemi Aromolaran & Nicholas Ngepah, 2024. "Threshold Analysis of the Stock Market Capitalization and Monetary Policy in South Africa: The Role of Investment in Artificial Intelligence," International Journal of Economics and Financial Issues, Econjournals, vol. 14(5), pages 18-25, September.
  30. Conover, C. Mitchell & Jensen, Gerald R. & Johnson, Robert R., 1999. "Monetary environments and international stock returns," Journal of Banking & Finance, Elsevier, vol. 23(9), pages 1357-1381, September.
  31. Grant McQueen & V. Vance Roley, 1990. "Stock Prices, News, and Business Conditions," NBER Working Papers 3520, National Bureau of Economic Research, Inc.
  32. Yunpeng Sun & Xueying Wang, 2018. "Asymmetric Effects of Chinas Monetary Policy on the Stock Market: Evidence from a Nonlinear VAR Mode," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 8(6), pages 745-761, June.
  33. Thornton, Daniel L., 2000. "The relationship between the federal funds rate and the Fed's federal funds rate target: is it open market or open mouth operations?," Discussion Paper Series 1: Economic Studies 2000,09, Deutsche Bundesbank.
  34. Farka, Mira, 2009. "The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases," Review of Financial Economics, Elsevier, vol. 18(1), pages 47-55, January.
  35. Bahram Adrangi & Hannah Baade & Kambiz Raffiee, 2019. "Dynamic Responses of the Economy to Monetary Shocks in the United Kingdom," Review of Economics & Finance, Better Advances Press, Canada, vol. 15, pages 31-45, February.
  36. Jeff Madura & Oliver Schnusenberg, 2000. "Effect Of Federal Reserve Policies On Bank Equity Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(4), pages 421-447, December.
  37. Ling T. He, 2006. "Variations in effects of monetary policy on stock market returns in the past four decades," Review of Financial Economics, John Wiley & Sons, vol. 15(4), pages 331-349.
  38. Jensen, Gerald R. & Mercer, Jeffrey M. & Johnson, Robert R., 1996. "Business conditions, monetary policy, and expected security returns," Journal of Financial Economics, Elsevier, vol. 40(2), pages 213-237, February.
  39. Obonyo, Tirimba, 2022. "Monetary policy and cross-border acquisitions," Finance Research Letters, Elsevier, vol. 50(C).
  40. Don Bredin & Gerard O’Reilly & Simon Stevenson, 2007. "Monetary Shocks and REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 315-331, October.
  41. J. Benson Durham, 2001. "The effect of monetary policy on monthly and quarterly stock market returns: cross-country evidence and sensitivity analyses," Finance and Economics Discussion Series 2001-42, Board of Governors of the Federal Reserve System (U.S.).
  42. Thornton, Daniel L, 1994. "Why Do T-Bill Rates React to Discount Rate Changes?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 26(4), pages 839-850, November.
  43. He, Ling T., 2006. "Variations in effects of monetary policy on stock market returns in the past four decades," Review of Financial Economics, Elsevier, vol. 15(4), pages 331-349.
  44. Rik Hafer, 1985. "Further evidence on stock price response to changes in weekly money and the discount rate," Working Papers 1985-015, Federal Reserve Bank of St. Louis.
  45. Thomas Mann & Richard Dowen, 2004. "The Influence of Monetary Conditions on the Response of Interest Rate Futures to M1 Releases: 1976–1998," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7‐8), pages 1125-1150, September.
  46. Ajab Khan, 2024. "Nexus Between Discount Rate and Industrial Performance," Global Business Review, International Management Institute, vol. 25(6), pages 1590-1602, December.
  47. Massimo Guidolin & Stuart Hyde, 2008. "Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK," Working Papers 2008-005, Federal Reserve Bank of St. Louis.
  48. Choi, Woon Gyu, 1999. "Estimating the Discount Rate Policy Reaction Function of the Monetary Authority," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(4), pages 379-401, July-Aug..
  49. Chen, Carl R. & Mohan, Nancy J. & Steiner, Thomas L., 1999. "Discount rate changes, stock market returns, volatility, and trading volume: Evidence from intraday data and implications for market efficiency," Journal of Banking & Finance, Elsevier, vol. 23(6), pages 897-924, June.
  50. Manfred J.M. Neumann & Jens Weidmann, 1997. "The Information Content of German Discount Rate Changes," Macroeconomics 9706006, University Library of Munich, Germany.
  51. Jensen, Gerald R. & Mercer, Jeffrey M., 2006. "Security markets and the information content of monetary policy turning points," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 477-494, September.
  52. Johnson, Robert R. & Buetow, Gerald W. & Jensen, Gerald R. & Reilly, Frank K., 2003. "Monetary policy and fixed income returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(1), pages 133-146.
  53. Michael J. Dueker & Daniel L. Thornton, 1994. "Asymmetry in the prime rate and firms' preference for internal finance," Working Papers 1994-017, Federal Reserve Bank of St. Louis.
  54. Dewan Abdullah, 1998. "Money Growth Variability and Stock Returns: An Innovations Accounting Analysis," International Economic Journal, Taylor & Francis Journals, vol. 12(4), pages 89-104.
  55. Daniel L. Thornton, 1996. "Does the Fed's new policy of immediate disclosure affect the market?," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 77-88.
  56. Antulio N. Bomfim & Vincent Reinhart, 2000. "Making news: financial market effects of Federal Reserve disclosure practices," Finance and Economics Discussion Series 2000-14, Board of Governors of the Federal Reserve System (U.S.).
  57. Syed M. Harun & M. Kabir Hassan & Tarek S. Zaher, 2005. "Effect of Monetary Policy on Commercial Banks Across Different Business Conditions," Multinational Finance Journal, Multinational Finance Journal, vol. 9(1-2), pages 99-128, March-Jun.
  58. Michael P. Hughes & Karl Rogers, 2016. "Zero Lower Bound Monetary Policy’s Effect on Financial Asset’s Correlations," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 22(2), pages 151-170, May.
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