Financial Frictions and the Stock Price Reaction to Monetary Policy
研究发现，信息摩擦越大的公司，其股票价格对货币政策的反应越弱。安然会计丑闻和安达信倒闭作为外生冲击，使安达信客户公司的股价对货币政策的敏感度降至其他公司的一半。
I show that the stock prices of firms subject to greater information frictions have a weaker reaction to monetary policy. The claim is robust to a broad set of proxies for financial constraints and information frictions. Moreover, I use the Enron accounting scandal and Arthur Andersen’s demise as a large exogenous shock, temporarily raising other Andersen clients’ information frictions and, thereby, their financial constraints. The scandal’s disclosure lowered Andersen’s clients’ stock price sensitivity to monetary policy to about half that of other firms. Received February 12, 2016; editorial decision August 22, 2017 by Editor Robin Greenwood.Authors have furnished an Internet Appendix, which is available on the Oxford University PressWeb site next to the link to the final published paper online.