The role of monetary policy in investment management

72 193 0
The role of monetary policy in investment management

Đang tải... (xem toàn văn)

Tài liệu hạn chế xem trước, để xem đầy đủ mời bạn chọn Tải xuống

Thông tin tài liệu

P Ratio on Stock Returns.” Financial Analysts Journal, vol 46, no (March/April):56–67 Keim, Donald, and Robert F Stambaugh 1986 “Predicting Returns in the Stock and Bond Markets.” Journal of Financial Economics, vol 17, no (December):357–390 Kothari, S.P., Jay Shanken, and Richard Sloan 1995 “Another Look at the Cross-Section of Expected Stock Returns.” Journal of Finance, vol 50, no (March):185–224 Laurent, Robert 1988 “An Interest Rate-Based Indicator of Monetary Policy.” Economic Perspectives (January/February):3–14 60 ©2000, The Research Foundation of AIMR Johnson.book Page 61 Thursday, November 9, 2000 11:17 AM References Lee, Cheng, Raymond Leuthold, and Jean Cordier 1985 “The Stock Market and Commodities Futures Market: Diversification and Arbitrage Potential.” Financial Analysts Journal, vol 41, no (July/August):53–60 Lessard, Donald 1976 “World, Country, and Industry Relationships in Equity Returns.” Financial Analysts Journal, vol 32, no (January/February):32–38 Levy, Haim, and Marshall Sarnat 1970 “Alternative Efficiency Criteria: An Empirical Analysis.” Journal of Finance, vol 25, no (December):1153–58 Ma, Christopher K., and M.E Ellis 1989 “Selecting Industries as Inflation Hedges.” Journal of Portfolio Management, vol 15, no (Summer):45–48 McNess, Stephen K 1993 “The Discount Rate: The Other Tool of Monetary Policy.” New England Economic Review (July/August):3–22 Moskowitz, Tobias, and Mark Grinblatt 1999 “Do Industries Explain Momentum?” Journal of Finance, vol 54, no (August):1249–90 Nowak, Laura S 1993 Monetary Policy and Investment Opportunities Westport, CT: Quorum Books Ogden, Joseph 1987 “The End of the Month as a Preferred Habitat: A Test of Operational Efficiency in the Money Market.” Journal of Financial and Quantitative Analysis, vol 22, no (September):329–343 ——— 1990 “Turn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects.” Journal of Finance, vol 45, no (September):1259–72 Patelis, Alex 1997 “Stock Return Predictability and the Role of the Monetary Sector.” Journal of Finance, vol 52, no (June):1951–72 Pearce, Douglas, and V Vance Roley 1985 “Stock Prices and Economic News.” Journal of Business, vol 58, no (January):49–67 Prather, Laurie, and William Bertin 1997 “A Simple and Effective Trading Rule for Individual Investors.” Financial Services Review (Index Issue):285– 294 Reinganum, Marc 1981 “Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings’ Yields and Market Values.” Journal of Financial Economics, vol 9, no (March):19–46 ——— 1988 “The Anatomy of a Stock Market Winner.” Financial Analysts Journal, vol 44, no (March/April):16–28 ©2000, The Research Foundation of AIMR™ 61 Johnson.book Page 62 Thursday, November 9, 2000 11:17 AM The Role of Monetary Policy in Investment Management Romer, Christina, and David Romer 1996 “Federal Reserve Private Information and the Behavior of Interest Rates.” NBER Working Paper 5692 Rosenberg, Barr, Kenneth Reid, and Ronald Lanstein 1985 “Persuasive Evidence of Market Inefficiency.” Journal of Portfolio Management, vol 11, no (Spring):9–16 Schwert, G Williams 1990 “Stock Returns and Real Activity: A Century of Evidence.” Journal of Finance, vol 45, no (October):1237–57 Sinquefield, Rex 1996 “Where Are the Gains from International Diversification?” Financial Analysts Journal, vol 52, no (January/February):8–14 Smirlock, Michael J., and Jess B Yawitz 1985 “Asset Returns, Discount Rate Changes, and Market Efficiency.” Journal of Finance, vol 40, no (September):1141–58 Solnik, B.H 1974 “The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure.” Journal of Finance, vol 29, no (May):365–378 Stock, James, and Mark Watson 1989 “Interpreting the Evidence on MoneyIncome Causality.” Journal of Econometrics, vol 40, no (January):161–181 Strongin, Steve, and Melanie Petsch 1999 “Goldman Sachs Commodity Index (GSCI).” Published by Goldman, Sachs & Company on the Web: www.gs.com/gsci Thorbecke, Willem 1997 “On Stock Market Returns and Monetary Policy.” Journal of Finance, vol 52, no (June):635–654 Thornton, Daniel 1998 “The Information Content of Discount Rate Announcements: What Is Behind the Announcement Effect?” Journal of Banking and Finance, vol 22, no (January):83–108 Waud, Roger N 1970 “Public Interpretation of Federal Reserve Discount Rate Changes: Evidence on the Announcement Effect.” Econometrica, vol 38, no (March):231–250 Yamada, Louise 1998 Market Magic: Riding the Greatest Bull Market of the Century New York: John Wiley & Sons, Inc Zweig, Martin E 1986 Martin Zweig’s Winning on Wall Street New York: Warner Books 62 ©2000, The Research Foundation of AIMR ... 11:17 AM The Role of Monetary Policy in Investment Management Romer, Christina, and David Romer 1996 “Federal Reserve Private Information and the Behavior of Interest Rates.” NBER Working Paper... Journal of Finance, vol 40, no (September):1141–58 Solnik, B.H 1974 The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure.” Journal of Finance,... 1993 The Discount Rate: The Other Tool of Monetary Policy. ” New England Economic Review (July/August):3–22 Moskowitz, Tobias, and Mark Grinblatt 1999 “Do Industries Explain Momentum?” Journal of

Ngày đăng: 01/03/2018, 14:22

Từ khóa liên quan

Mục lục

  • monetary_policy.pdf

    • Mission

    • Biographies

    • Contents

    • Foreword

    • Preface

    • 1. Federal Reserve Monetary Policy: A Primer

    • 2. Measuring Monetary Conditions

    • 3. Monetary Conditions and the Performance of Stocks and Bonds

    • 4. Monetary Conditions and the Performance of Various Asset Classes

    • 5. Assessing the Performance of Alternative Monetary Policy Measures as Predictors of Stock Returns

Tài liệu cùng người dùng

Tài liệu liên quan