Financial Constraints, Monetary Policy Shocks, and the Cross-Section of Equity Returns

2014 ◽  
Author(s):  
Sudheer Chava ◽  
Alex C. Hsu
Keyword(s):  
Monetary Policy ◽  
Cross Section ◽  
Financial Constraints ◽  
Equity Returns ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
The Cross

Financial Constraints, Monetary Policy Shocks, and the Cross-Section of Equity Returns

2019 ◽  
Vol 33 (9) ◽  
pp. 4367-4402 ◽  
Author(s):  
Sudheer Chava ◽  
Alex Hsu
Keyword(s):  
Monetary Policy ◽  
Cross Section ◽  
Equity Returns ◽  
Monetary Policy Shocks ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
Oxford University ◽  
Policy Shocks ◽  
The Cross ◽  
The Impact

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.

scholarly journals Financial Constraints and the Response of Business Investment to Monetary Policy Shocks

2016 ◽  
Vol 5 (3) ◽  
pp. 31-46 ◽  
Author(s):  
Timothy J. Haase
Keyword(s):  
Monetary Policy ◽  
Financial Constraints ◽  
Previous Literature ◽  
Continuous Series ◽  
Monetary Policy Shocks ◽  
Fixed Investment ◽  
Business Investment ◽  
Policy Shocks ◽  
Liquid Portion ◽  
Asset Size

Abstract In this study I investigate what impact monetary policy shocks have on firms’ fixed investment, the less liquid portion of gross investment that requires more planning. I account for firms facing financial constraints firms by utilizing a common measure of asset size, which is used in previous literature. I use two exogenous, continuous series of monetary policy shocks to show that constrained firms have statistically different responses to policy than unconstrained firms. Specifically, I find that constrained firms’ fixed investment significantly responds more to monetary policy shocks than unconstrained firms.

scholarly journals Monetary Policy Shocks, Financial Constraints and Firm-Level Equity Return: Panel Evidence

2013 ◽  
Vol 39 ◽  
pp. 51-63
Author(s):  
Zulkefly Abdul Karim ◽  
Mohd. Azlan Shah Zaidi ◽  
Bakri Abdul Karim
Keyword(s):  
Monetary Policy ◽  
Financial Constraints ◽  
Monetary Policy Shocks ◽  
Firm Level ◽  
Policy Shocks
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