U.S. monetary policy indicators and international stock returns: 1970–2001

Money and equity returns in the Euro area

“…Lastrapers (1998) and Thorbecke (1997) factor monetary policy stance into the analysis and find that monetary expansion leads to higher equity prices. Mann, Atra, and Dowen (2004) support this finding. The impact may also depend on the monetary policy rule.…”

Stock index futures arbitrage in emerging markets: Polish evidence

“…According to the literature on the relationship between monetary policy and asset prices, in an efficient market the decline of the risk-free interest rate increases stock returns. It applies especially to large companies (see Gertler & Gilchrist, 1994;Mann, Atra, & Dowen, 2004;Rigobon & Sack, 2004;Thorbecke, 1997). Only blue chip companies are listed in the index WIG20, so there is a potential risk for arbitrageurs that prices will react positively to the changing of the risk-free interest rate.…”

Hotel stock performance and monetary conditions

“…Although an increase of money supply (a positive money supply growth rate) is associated with a decrease in the interest rate and hence an expansive monetary policy, money supply has not been generally used as a good indicator of different monetary policy developments because of its frequent changes (Jensen and Johnson, 1995;Jensen et al, 1996;Johnson and Jensen, 1998;Conover et al, 1999;Johnson et al, 2003;Mann et al, 2004;Chen et al, 2006a, b). Different from the monetary policy variables utilized in Barrows and Naka (1994) and Chen et al (2005), we employed changes in the discount rate as the measure of monetary environment stringency exploited by Jensen et al (1996) and Johnson and Jensen (1998).…”