Aggregate earnings surprises, monetary policy, and stock returns
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...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2016
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soa_research/1513 https://ink.library.smu.edu.sg/context/soa_research/article/2540/viewcontent/AggregateEarningsStockReturns_2016.pdf |
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| Institution: | Singapore Management University |
| Language: | English |