Business conditions, monetary policy, and expected security returns

• 成果类型: Article
• 署名作者: Jensen, GR; Mercer, JM; Johnson, RR
• 署名单位: Creighton University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(96)89537-7
• 发表日期: 1996
• 页码: 213-237
• 关键词: business conditions; monetary policy; expected security returns

摘要

We examine the evidence that expected security returns can be forecasted by the term premium, default premium, and dividend yield, in light of recent findings that similar security return patterns are associated with Federal Reserve monetary policy developments. We extend Fama and French's (1989) analysis by suggesting that the monetary environment influences investors' required returns, and hence the robustness of the models they propose. Our findings indicate that Fama and French's results vary dramatically across monetary environments; that is, the behavior of the business-conditions proxies and their influence on expected security returns is significantly affected by the monetary sector.