Stock Market's Assessment of Monetary Policy Transmission: The Cash Flow Effect
研究发现，企业的负债结构和现金流会影响其行为，股市参与者会根据这些信息对货币政策公告做出反应，且现金流暴露能预测企业未来投资和净资产，违背了莫迪利亚尼-米勒定理。
ABSTRACT We show that firm liability structure and associated cash flows matter for firm behavior and that financial market participants price stocks accordingly. Stock price reactions to monetary policy announcements depend on the type and maturity of debt issued by the firms and the forward guidance provided by the Fed, both at and away from the zero lower bound. Further, the marginal stock market participant knows the current liability structures of firms and does not rely on rules of thumb. The cash flow exposure at the time of monetary policy actions predicts future investment, assets, and net worth, clearly violating the Modigliani‐Miller theorem.