Aggregate earnings surprises, monetary policy, and stock returns

• المؤلفون الرئيسيون: GALLAO, Lindsey A., HANN, Rebecca N., Congcong LI
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2016
• الموضوعات: Aggregate earnings; Monetary policy; Stock returns; Federal funds futures; Accounting; Corporate Finance
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soa_research/1513; https://ink.library.smu.edu.sg/context/soa_research/article/2540/viewcontent/AggregateEarningsStockReturns_2016.pdf

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 polic...