Taking Stock: Monetary Policy Transmission to Equity Markets
分析美国货币政策对股票市场的影响，发现个股反应高度异质，低现金流、小规模、低信用评级、低债务资本比、高市盈率或高托宾q的公司受货币政策冲击更大。
This paper analyses the effects of U.S. monetary policy on stock markets.We present evidence that individual stocks react in a highly heterogeneous fashion to U.S. monetary policy shocks and relate this heterogeneity to financial constraints and Tobin's q. First, we show that there are strong industry-specific effects of U.S. monetary policy. Second, we also find that for the 500 individual stocks comprising the S&P500 the firms with low cash flows, small size, poor credit ratings, low debt to capital ratios, high price-earnings ratios, or a high Tobin's q are affected significantly more by monetary policy.