Aggregate earnings surprises, monetary policy, and stock returns

• 成果类型: Article
• 署名作者: Gallo, Lindsey A.; Hann, Rebecca N.; Li, Congcong
• 署名单位: University of Michigan System; University of Michigan; University System of Maryland; University of Maryland College Park; Singapore Management University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2016.04.003
• 发表日期: 2016
• 关键词: affect market returns; ACCOUNTING EARNINGS; information-content; announcements; valuation; guidance; prices

摘要

This paper examines whether the negative association between aggregate earnings and returns is explained by the monetary policy news in aggregate earnings. Using Federal funds futures data to construct a measure of policy news, we find that aggregate earnings convey information about the Fed's policy actions. Additionally, the negative aggregate earnings-returns association is muted when we control for policy surprises. This result is more pronounced in periods with negative policy surprises, which tend to trigger a more significant market reaction. Taken together, these results suggest that aggregate earnings convey policy news and the market reacts negatively to policy surprises, which drives the negative aggregate earnings-returns association. Published by Elsevier B.V.