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

• 成果类型: Article
• 署名作者: Chava, Sudheer; Hsu, Alex
• 署名单位: University System of Georgia; Georgia Institute of Technology
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz140
• 发表日期: 2020
• 页码: 4367
• 关键词: interest-rates; STOCK; credit; transmission; prices

摘要

We analyze the impact of 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.