On monetary policy and stock market anomalies

Alexandros Kontonikas, Alexandros Kostakis

Research output: Contribution to journalArticlepeer-review

Abstract

This study utilizes a macro-based VAR framework to investigate whether stock portfolios formed on the basis of their value, size and past performance characteristics are affected in a different manner by unexpected US monetary policy actions during the period 1967-2007. Full sample results show that value, small capitalization and past loser stocks are more exposed to monetary policy shocks compared with growth, big capitalization and past winner stocks. Sub-sample analysis, motivated by variation in the realized premia and parameter instability, reveals that the impact of monetary policy shocks on these portfolios is significant and pronounced only during the pre-1983 period. © 2013 John Wiley & Sons Ltd.
Original languageEnglish
Pages (from-to)1009-1042
Number of pages33
JournalJournal of Business Finance and Accounting
Volume40
Issue number7-8
DOIs
Publication statusPublished - 2013

Keywords

  • Credit channel
  • Fed funds rate
  • Market anomalies
  • Monetary policy
  • Risk premia

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