On Monetary Policy and Stock Market Anomalies
利用VAR框架研究1967-2007年间美国货币政策意外对基于价值、规模和过去表现构建的股票组合的影响，发现价值股、小盘股和过去输家股对政策冲击更敏感，且该影响仅在1983年前显著。
Abstract This study utilizes a macro‐based VAR framework to investigate whether stock portfolios formed on the basis of their value, size and past performance characteristics are affected in a different manner by unexpected US monetary policy actions during the period 1967–2007. Full sample results show that value, small capitalization and past loser stocks are more exposed to monetary policy shocks compared with growth, big capitalization and past winner stocks. Sub‐sample analysis, motivated by variation in the realized premia and parameter instability, reveals that the impact of monetary policy shocks on these portfolios is significant and pronounced only during the pre‐1983 period.