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題名 美國貨幣政策衝擊對股價橫斷面報酬之影響
U.S Monetary Policy and Cross-section Stock Returns作者 朱家玄
Chu, Chia-Husan貢獻者 岳夢蘭
朱家玄
Chu, Chia-Husan關鍵詞 美國貨幣政策衝擊
股價橫斷面報酬日期 2018 上傳時間 10-Jul-2018 15:33:48 (UTC+8) 摘要 本研究探討美國貨幣政策衝擊，對美國股價橫斷面報酬率的影響。我們首先將樣本分成(1)FOMC有開會的日期；(2)FOMC開會日的利率決策產生預期到的衝擊；(3)FOMC開會日產生非預期到的升息以及非預期到的降息等樣本期間，探討不同樣本期間下，公司特性對股價報酬率的影響。接著我們將股票依排序前beta以及不同的公司特性分組，觀察在不同樣本期間下，各投資組合的平均日超額報酬是否相同。並觀察建立的long-short投資組合在不同期間下是否有超額報酬存在。最後，我們將個股依其對貨幣政策衝擊之曝險beta值進行分組，觀察各組平均超額報酬。此外，我們也會建立一個long-short投資組合，觀察此long-short投資組合之(i)平均超額報酬；(ii)經過CAPM、三因子及四因子模型調整後，是否存在異常報酬(α)。 本篇研究的實證結果發現：(i)公司市值大小與帳面市值比在有正向貨幣政策衝擊期間下，對股價報酬皆有正向且顯著之影響，而在負向貨幣政策衝擊期間下，兩者對股價報酬則為負向顯著之關係，反映小公司溢酬僅存在於負向貨幣政策衝擊期間； (ii)在美國聯準會開會日下，存在正向且顯著的平均超額報酬。而這樣正向且顯著的平均超額報酬更集中存在於美國聯準會開會日且降息超過預期之樣本期間；(iii)平均超額報酬在對貨幣政策曝險最大及最小之投資組合下較高，而此極端兩組合之公司市值較小、帳面市值比較高。雖然所建立的long-short投資組合有正向的平均超額報酬及異常報酬，但在統計上是不顯著的。
This paper studies how US monetary policy affects cross-section stock returns. We find that small firm premium exists in negative shock periods, and premium on high book-to-market stocks exists in positive shock periods. We also find that on FOMC meeting days, there is statistically significant excess return between highest and lowest beta portfolios, and this result is concentrated on FOMC meeting days with surprise cut in Fed fund rate. Moreover, we find that the average excess returns are higher in the portfolios with the largest and the smallest exposure to monetary policy, and market capitalization of these two portfolios are relatively small, and book-to-market ratio are relatively high. In addition, we can construct a long-short portfolio to generate positive excess returns and abnormal returns, although they are not statistically significant.參考文獻 Basistha, A. and Kurov, A., 2008. Macroeconomic cycles and the stock market`s reaction to monetary policy. Journal of Banking and Finance 32, P2606–P2616. Bernanke, B. and Blinder, A. 1992. The Federal Funds Rate and the Channels of Monetary Transmission. The American Economic Review, Vol. 82, No. 4, pp. 901-921. Bernanke, B. and Kuttner, K. 2005. What explains the stock market’s reaction to Fed-er- al Reserve policy? Journal of Finance, 60, 1221–1257. Chen, S. 2007. Does monetary policy have asymmetric effects on stock returns? Journal of Money, Credit and Banking 39(2-3), 667-688. Chuliá, H., Martens, M. and Dijk, D. 2010. Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations. Journal of Banking and Finance 34 (2010) 834–839. Cochrane, J. H. and Piazzesi, M. 2002. The Fed and interest rates: A high-frequency identification. American Economic Review, 92, 90–95. Cook. T and Hahn. T. 1989. The effect of changes in the federal funds rate target on market interest rates in the 1970s. Journal of Monetary Economics. Ehrmann, M. and Fratzcher, M. 2004. Taking stock: Monetary policy transmission to equity markets. Journal of Money, Credit and Banking, 36, 719–738. Fama, E. F. and French, K. R. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3–56. Gertler, M. and Gilchrist, S. 1994. Monetary policy, business cycles, and the behavior of small manufacturing firms. The Quarterly Journal of Economics. 109, 309 -340. Goto, S. and Valkanov, R. 2002. The Fed’s Effect on Excess Returns and Inflation is Bigger Than you Think, Manuscript, Anderson School of Management, UCLA. Gürkayanak, R., Sack, B. and Swanson, E. 2007. Market-based measures of monetary policy expectations. Journal of Business and Economic Statistics, 25, 201–212. Jansen, D.W. and Tsai, C. 2010. Monetary policy and stock returns: Financing constraints and asymmetries in bull and bear markets. Journal of Empirical Finance 17(5), 981-990. Jensen, G. and Mercer, J. 2002. Monetary policy and the cross-section of expected stock returns. The Journal of Financial Research. Voi. XXV No. 1. Pages 125-139. Kurov, A. 2010. Investor sentiment and the stock market’s reaction to monetary policy. Journal of Banking and Finance 34(1), 139-149. Kuttner, K. 2001. Monetary policy surprises and interest rates: Evidence from the Fed funds futures market. Journal of Monetary Economics, 47, 523–544. Laeven, L. and Tong, H. 2012. US monetary shocks and global stock prices. J. Finan. Intermediation 21. 530–547. Maio, P. 2014. Another look at the stock return response to monetary policy actions. Review of Finance, 18, 1–51. Novy-Marx, R. and Velikov, M. 2016. A taxonomy of anomalies and their cost of trading. Review of Financial Studies, 26, 104–147. Ozdagli, A. K. and Velikov, M. 2016. Show me the money: The monetary policy risk premium. Working paper. Patelis, A. 1997. Stock return predictability and the role of monetary policy. Journal of Finance, 52, 1951–1972 Rigobon, R. and Sack, B. 2003. Measuring the reaction of monetary policy to the stock market. Quarterly Journal of Economics, 118, 639–669. Savor, P. and Wilson, M. 2014. Asset pricing: A tale of two days. Journal of Financial Economics, 113, 171–201. Thorbecke, W. 1997. On stock market returns and monetary policy. Journal of Finance, 52, 635–654. Velikov, M. 2017. FOMC Announcements and Predictable Returns. University of Rochester. 描述 碩士
國立政治大學
財務管理學系
105357018資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105357018 資料類型 thesis dc.contributor.advisor 岳夢蘭 zh_TW dc.contributor.author (Authors) 朱家玄 zh_TW dc.contributor.author (Authors) Chu, Chia-Husan en_US dc.creator (作者) 朱家玄 zh_TW dc.creator (作者) Chu, Chia-Husan en_US dc.date (日期) 2018 en_US dc.date.accessioned 10-Jul-2018 15:33:48 (UTC+8) - dc.date.available 10-Jul-2018 15:33:48 (UTC+8) - dc.date.issued (上傳時間) 10-Jul-2018 15:33:48 (UTC+8) - dc.identifier (Other Identifiers) G0105357018 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/118531 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 105357018 zh_TW dc.description.abstract (摘要) 本研究探討美國貨幣政策衝擊，對美國股價橫斷面報酬率的影響。我們首先將樣本分成(1)FOMC有開會的日期；(2)FOMC開會日的利率決策產生預期到的衝擊；(3)FOMC開會日產生非預期到的升息以及非預期到的降息等樣本期間，探討不同樣本期間下，公司特性對股價報酬率的影響。接著我們將股票依排序前beta以及不同的公司特性分組，觀察在不同樣本期間下，各投資組合的平均日超額報酬是否相同。並觀察建立的long-short投資組合在不同期間下是否有超額報酬存在。最後，我們將個股依其對貨幣政策衝擊之曝險beta值進行分組，觀察各組平均超額報酬。此外，我們也會建立一個long-short投資組合，觀察此long-short投資組合之(i)平均超額報酬；(ii)經過CAPM、三因子及四因子模型調整後，是否存在異常報酬(α)。 本篇研究的實證結果發現：(i)公司市值大小與帳面市值比在有正向貨幣政策衝擊期間下，對股價報酬皆有正向且顯著之影響，而在負向貨幣政策衝擊期間下，兩者對股價報酬則為負向顯著之關係，反映小公司溢酬僅存在於負向貨幣政策衝擊期間； (ii)在美國聯準會開會日下，存在正向且顯著的平均超額報酬。而這樣正向且顯著的平均超額報酬更集中存在於美國聯準會開會日且降息超過預期之樣本期間；(iii)平均超額報酬在對貨幣政策曝險最大及最小之投資組合下較高，而此極端兩組合之公司市值較小、帳面市值比較高。雖然所建立的long-short投資組合有正向的平均超額報酬及異常報酬，但在統計上是不顯著的。 zh_TW dc.description.abstract (摘要) This paper studies how US monetary policy affects cross-section stock returns. We find that small firm premium exists in negative shock periods, and premium on high book-to-market stocks exists in positive shock periods. We also find that on FOMC meeting days, there is statistically significant excess return between highest and lowest beta portfolios, and this result is concentrated on FOMC meeting days with surprise cut in Fed fund rate. Moreover, we find that the average excess returns are higher in the portfolios with the largest and the smallest exposure to monetary policy, and market capitalization of these two portfolios are relatively small, and book-to-market ratio are relatively high. In addition, we can construct a long-short portfolio to generate positive excess returns and abnormal returns, although they are not statistically significant. en_US dc.description.tableofcontents 摘要 II Abstract III 第一章、 緒論 1 第一節、 研究背景與動機 1 第二節、 研究目的 2 第三節、 研究架構 3 第二章、 文獻回顧 4 第一節、 衡量貨幣政策衝擊之相關文獻 4 第二節、 貨幣政策對股價報酬之影響相關文獻 6 第三章、 研究方法 8 第一節、 樣本來源及選取 8 第二節、 貨幣政策衝擊衡量與研究設計 8 第四章、 實證分析與結果 10 第五章、 結論與建議 24 參考文獻 26 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105357018 en_US dc.subject (關鍵詞) 美國貨幣政策衝擊 zh_TW dc.subject (關鍵詞) 股價橫斷面報酬 zh_TW dc.title (題名) 美國貨幣政策衝擊對股價橫斷面報酬之影響 zh_TW dc.title (題名) U.S Monetary Policy and Cross-section Stock Returns en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Basistha, A. and Kurov, A., 2008. Macroeconomic cycles and the stock market`s reaction to monetary policy. Journal of Banking and Finance 32, P2606–P2616. Bernanke, B. and Blinder, A. 1992. The Federal Funds Rate and the Channels of Monetary Transmission. The American Economic Review, Vol. 82, No. 4, pp. 901-921. Bernanke, B. and Kuttner, K. 2005. What explains the stock market’s reaction to Fed-er- al Reserve policy? Journal of Finance, 60, 1221–1257. Chen, S. 2007. Does monetary policy have asymmetric effects on stock returns? Journal of Money, Credit and Banking 39(2-3), 667-688. Chuliá, H., Martens, M. and Dijk, D. 2010. Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations. Journal of Banking and Finance 34 (2010) 834–839. Cochrane, J. H. and Piazzesi, M. 2002. The Fed and interest rates: A high-frequency identification. American Economic Review, 92, 90–95. Cook. T and Hahn. T. 1989. The effect of changes in the federal funds rate target on market interest rates in the 1970s. Journal of Monetary Economics. Ehrmann, M. and Fratzcher, M. 2004. Taking stock: Monetary policy transmission to equity markets. Journal of Money, Credit and Banking, 36, 719–738. Fama, E. F. and French, K. R. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3–56. Gertler, M. and Gilchrist, S. 1994. Monetary policy, business cycles, and the behavior of small manufacturing firms. The Quarterly Journal of Economics. 109, 309 -340. Goto, S. and Valkanov, R. 2002. The Fed’s Effect on Excess Returns and Inflation is Bigger Than you Think, Manuscript, Anderson School of Management, UCLA. Gürkayanak, R., Sack, B. and Swanson, E. 2007. Market-based measures of monetary policy expectations. Journal of Business and Economic Statistics, 25, 201–212. Jansen, D.W. and Tsai, C. 2010. Monetary policy and stock returns: Financing constraints and asymmetries in bull and bear markets. Journal of Empirical Finance 17(5), 981-990. Jensen, G. and Mercer, J. 2002. Monetary policy and the cross-section of expected stock returns. The Journal of Financial Research. Voi. XXV No. 1. Pages 125-139. Kurov, A. 2010. Investor sentiment and the stock market’s reaction to monetary policy. Journal of Banking and Finance 34(1), 139-149. Kuttner, K. 2001. Monetary policy surprises and interest rates: Evidence from the Fed funds futures market. Journal of Monetary Economics, 47, 523–544. Laeven, L. and Tong, H. 2012. US monetary shocks and global stock prices. J. Finan. Intermediation 21. 530–547. Maio, P. 2014. Another look at the stock return response to monetary policy actions. Review of Finance, 18, 1–51. Novy-Marx, R. and Velikov, M. 2016. A taxonomy of anomalies and their cost of trading. Review of Financial Studies, 26, 104–147. Ozdagli, A. K. and Velikov, M. 2016. Show me the money: The monetary policy risk premium. Working paper. Patelis, A. 1997. Stock return predictability and the role of monetary policy. Journal of Finance, 52, 1951–1972 Rigobon, R. and Sack, B. 2003. Measuring the reaction of monetary policy to the stock market. Quarterly Journal of Economics, 118, 639–669. Savor, P. and Wilson, M. 2014. Asset pricing: A tale of two days. Journal of Financial Economics, 113, 171–201. Thorbecke, W. 1997. On stock market returns and monetary policy. Journal of Finance, 52, 635–654. Velikov, M. 2017. FOMC Announcements and Predictable Returns. University of Rochester. zh_TW dc.identifier.doi (DOI) 10.6814/THE.NCCU.Finance.013.2018.F07 -
