| Summary: | 碩士 === 國立政治大學 === 財務管理學系 === 106 === 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.
|
|---|
