Financial Frictions and the Stock Price Reaction to Monetary Policy

• 成果类型: Article
• 署名作者: Ozdagli, Ali K.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Boston
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx106
• 发表日期: 2018
• 页码: 3895
• 关键词: cross-section; corporate-investment; capital structure; constraints; INFORMATION; MARKET; decisions; BEHAVIOR; returns

摘要

I show that the stock prices of firms subject to greater information frictions have a weaker reaction to monetary policy. The claim is robust to a broad set of proxies for financial constraints and information frictions. Moreover, I use the Enron accounting scandal and Arthur Andersen's demise as a large exogenous shock, temporarily raising other Andersen clients' information frictions and, thereby, their financial constraints. The scandal's disclosure lowered Andersen's clients' stock price sensitivity to monetary policy to about half that of other firms.