Monetary Policy and Mispricing in Stock Markets
研究了货币政策如何影响股票价格偏离基本面，发现加息会导致股价过度下跌，从而可能抑制资产价格泡沫，这与理性泡沫理论不符，但可由非理性投资者的错误预期解释。
Abstract We investigate the role of monetary policy in stock price misalignments and explore whether central banks can attenuate excessive mispricing as suggested by the proponents of a “leaning against the wind” monetary policy. Decomposing stock prices into expected excess dividends, an equity risk premium, and a mispricing component, we find that prices fall more strongly in response to an increase in the policy rate than what is implied by their underlying fundamentals. This systematic overreaction suggests that tighter monetary policy may contain emerging asset price misalignments. Our findings are at odds with the predictions of a rational bubble framework, but can be explained by mispricing arising from false subjective expectations of irrational investors.