Financial Constraints, Monetary Policy Shocks, and the Cross-Section of Equity Returns
研究了意外货币政策变化对美国股票收益横截面的影响，发现金融约束公司在利率意外上升时收益显著更低，下降时更高，且这种差异在3-4天后出现。
Abstract We analyze the impact ofa unanticipated monetary policy changes on the cross-section of U.S. equity returns. Financially constrained firms earn a significantly lower (higher) return following surprise interest rate increases (decreases) as compared to unconstrained firms. This differential return response between constrained and unconstrained firms appears after a delay of 3 to 4 days. Further, unanticipated Federal funds rate increases are associated with a larger decrease in expected cash flow news, but not discount rate news, for constrained firms relative to unconstrained firms. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.