Federal Reserve Monetary Policy and Industry Stock Returns
研究发现美联储货币政策变化对16个行业股票收益有显著影响，但行业间差异很大，如服装业在宽松政策下年均收益比紧缩时高50%，而石油业仅高20%。这提示投资者可用货币政策判断不同行业的预期收益，也说明资产定价模型应考虑货币因素。
Recent studies identify stock return patterns associated with changes in Federal Reserve monetary policy. We find that these return patterns prevail across sixteen industry stock indices. However, significant cross‐industry variation exists as the apparel industry exhibits mean annual returns that are 50% higher under an expansive Fed policy than under a restrictive policy, while the same return difference for the oil industry is only 20%. This cross‐industry variation suggests that monetary conditions may be used by investors to estimate different expected returns across industries. Furthermore, the findings support the view that monetary considerations should be considered in ex ante asset pricing models such as the CAPM.