Business conditions, monetary policy, and expected security returns
We examine the evidence that expected security returns can be forecasted by the term premium, default premium, and dividend yield, in light of recent findings that similar security return patterns are associated with Federal Reserve monetary policy developments. We extend Fama and French's (198...
Gespeichert in:
| Veröffentlicht in: | Journal of financial economics 1996-02, Vol.40 (2), p.213-237 |
|---|---|
| Hauptverfasser: | , , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 237 |
|---|---|
| container_issue | 2 |
| container_start_page | 213 |
| container_title | Journal of financial economics |
| container_volume | 40 |
| creator | Jensen, Gerald R. Mercer, Jeffrey M. Johnson, Robert R. |
| description | We examine the evidence that expected security returns can be forecasted by the term premium, default premium, and dividend yield, in light of recent findings that similar security return patterns are associated with Federal Reserve monetary policy developments. We extend Fama and French's (1989) analysis by suggesting that the monetary environment influences investors' required returns, and hence the robustness of the models they propose. Our findings indicate that Fama and French's results vary dramatically across monetary environments; that is, the behavior of the business-conditions proxies and their influence on expected security returns is significantly affected by the monetary sector. |
| doi_str_mv | 10.1016/0304-405X(96)89537-7 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_38865519</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><els_id>0304405X96895377</els_id><sourcerecordid>9412082</sourcerecordid><originalsourceid>FETCH-LOGICAL-c542t-7bb2d0756cb7c93ecd9d221aaaa30430ab5155e3095e3bb976ce71a32e03483d3</originalsourceid><addsrcrecordid>eNp9kE1rGzEQhkVIoY7bf9DD0kNpwNvoY7VaXQqJyUeDIZcWehNaaUxl7NVW2jXZf59xHHLIIQMzc3nf0auHkC-M_mCU1RdU0KqsqPz7XdfnjZZCleqEzFijdMmVqk7J7FXykZzlvKFYSuoZWV6NOXSQc-Fi58MQYpcXxS52MNg0FX3cBjctCtv5Ah57cAP4IoMbUximIsEwpi5_Ih_Wdpvh88uekz8317-Xd-Xq4fbX8nJVOlnxoVRtyz2-WrtWOS3Aee05ZxYLwwlqW8mkBEE1jrbVqnagmBUcqKga4cWcfDve7VP8P0IezC5kB9ut7SCO2YimqaVkGoVf3wg3EYNiNsMFU5pxVaGoOopcijknWJs-hR1-2jBqDljNgZk5MDO6Ns9YjULb_dGWAHG8egBgs0aQzuyNsBXFMWEzjVZhAzbH7g-bCUyhzL9hh8d-Ho8BYtsHSCa7AJ0DHxKyNj6G99M8AXrLmAA</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>231791274</pqid></control><display><type>article</type><title>Business conditions, monetary policy, and expected security returns</title><source>RePEc</source><source>ScienceDirect Journals (5 years ago - present)</source><creator>Jensen, Gerald R. ; Mercer, Jeffrey M. ; Johnson, Robert R.</creator><creatorcontrib>Jensen, Gerald R. ; Mercer, Jeffrey M. ; Johnson, Robert R.</creatorcontrib><description>We examine the evidence that expected security returns can be forecasted by the term premium, default premium, and dividend yield, in light of recent findings that similar security return patterns are associated with Federal Reserve monetary policy developments. We extend Fama and French's (1989) analysis by suggesting that the monetary environment influences investors' required returns, and hence the robustness of the models they propose. Our findings indicate that Fama and French's results vary dramatically across monetary environments; that is, the behavior of the business-conditions proxies and their influence on expected security returns is significantly affected by the monetary sector.</description><identifier>ISSN: 0304-405X</identifier><identifier>EISSN: 1879-2774</identifier><identifier>DOI: 10.1016/0304-405X(96)89537-7</identifier><identifier>CODEN: JFECDT</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Business conditions ; Expected security returns ; Financial economics ; Monetary policy ; Securities issues ; Stock returns</subject><ispartof>Journal of financial economics, 1996-02, Vol.40 (2), p.213-237</ispartof><rights>1996</rights><rights>Copyright Elsevier Sequoia S.A. Feb 1996</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c542t-7bb2d0756cb7c93ecd9d221aaaa30430ab5155e3095e3bb976ce71a32e03483d3</citedby><cites>FETCH-LOGICAL-c542t-7bb2d0756cb7c93ecd9d221aaaa30430ab5155e3095e3bb976ce71a32e03483d3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/0304-405X(96)89537-7$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,780,784,3550,4008,27924,27925,45995</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/eeejfinec/v_3a40_3ay_3a1996_3ai_3a2_3ap_3a213-237.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Jensen, Gerald R.</creatorcontrib><creatorcontrib>Mercer, Jeffrey M.</creatorcontrib><creatorcontrib>Johnson, Robert R.</creatorcontrib><title>Business conditions, monetary policy, and expected security returns</title><title>Journal of financial economics</title><description>We examine the evidence that expected security returns can be forecasted by the term premium, default premium, and dividend yield, in light of recent findings that similar security return patterns are associated with Federal Reserve monetary policy developments. We extend Fama and French's (1989) analysis by suggesting that the monetary environment influences investors' required returns, and hence the robustness of the models they propose. Our findings indicate that Fama and French's results vary dramatically across monetary environments; that is, the behavior of the business-conditions proxies and their influence on expected security returns is significantly affected by the monetary sector.</description><subject>Business conditions</subject><subject>Expected security returns</subject><subject>Financial economics</subject><subject>Monetary policy</subject><subject>Securities issues</subject><subject>Stock returns</subject><issn>0304-405X</issn><issn>1879-2774</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1996</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNp9kE1rGzEQhkVIoY7bf9DD0kNpwNvoY7VaXQqJyUeDIZcWehNaaUxl7NVW2jXZf59xHHLIIQMzc3nf0auHkC-M_mCU1RdU0KqsqPz7XdfnjZZCleqEzFijdMmVqk7J7FXykZzlvKFYSuoZWV6NOXSQc-Fi58MQYpcXxS52MNg0FX3cBjctCtv5Ah57cAP4IoMbUximIsEwpi5_Ih_Wdpvh88uekz8317-Xd-Xq4fbX8nJVOlnxoVRtyz2-WrtWOS3Aee05ZxYLwwlqW8mkBEE1jrbVqnagmBUcqKga4cWcfDve7VP8P0IezC5kB9ut7SCO2YimqaVkGoVf3wg3EYNiNsMFU5pxVaGoOopcijknWJs-hR1-2jBqDljNgZk5MDO6Ns9YjULb_dGWAHG8egBgs0aQzuyNsBXFMWEzjVZhAzbH7g-bCUyhzL9hh8d-Ho8BYtsHSCa7AJ0DHxKyNj6G99M8AXrLmAA</recordid><startdate>19960201</startdate><enddate>19960201</enddate><creator>Jensen, Gerald R.</creator><creator>Mercer, Jeffrey M.</creator><creator>Johnson, Robert R.</creator><general>Elsevier B.V</general><general>Elsevier</general><general>Elsevier Sequoia S.A</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>19960201</creationdate><title>Business conditions, monetary policy, and expected security returns</title><author>Jensen, Gerald R. ; Mercer, Jeffrey M. ; Johnson, Robert R.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c542t-7bb2d0756cb7c93ecd9d221aaaa30430ab5155e3095e3bb976ce71a32e03483d3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1996</creationdate><topic>Business conditions</topic><topic>Expected security returns</topic><topic>Financial economics</topic><topic>Monetary policy</topic><topic>Securities issues</topic><topic>Stock returns</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Jensen, Gerald R.</creatorcontrib><creatorcontrib>Mercer, Jeffrey M.</creatorcontrib><creatorcontrib>Johnson, Robert R.</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of financial economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Jensen, Gerald R.</au><au>Mercer, Jeffrey M.</au><au>Johnson, Robert R.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Business conditions, monetary policy, and expected security returns</atitle><jtitle>Journal of financial economics</jtitle><date>1996-02-01</date><risdate>1996</risdate><volume>40</volume><issue>2</issue><spage>213</spage><epage>237</epage><pages>213-237</pages><issn>0304-405X</issn><eissn>1879-2774</eissn><coden>JFECDT</coden><abstract>We examine the evidence that expected security returns can be forecasted by the term premium, default premium, and dividend yield, in light of recent findings that similar security return patterns are associated with Federal Reserve monetary policy developments. We extend Fama and French's (1989) analysis by suggesting that the monetary environment influences investors' required returns, and hence the robustness of the models they propose. Our findings indicate that Fama and French's results vary dramatically across monetary environments; that is, the behavior of the business-conditions proxies and their influence on expected security returns is significantly affected by the monetary sector.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/0304-405X(96)89537-7</doi><tpages>25</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0304-405X |
| ispartof | Journal of financial economics, 1996-02, Vol.40 (2), p.213-237 |
| issn | 0304-405X 1879-2774 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38865519 |
| source | RePEc; ScienceDirect Journals (5 years ago - present) |
| subjects | Business conditions Expected security returns Financial economics Monetary policy Securities issues Stock returns |
| title | Business conditions, monetary policy, and expected security returns |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-06T21%3A00%3A51IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Business%20conditions,%20monetary%20policy,%20and%20expected%20security%20returns&rft.jtitle=Journal%20of%20financial%20economics&rft.au=Jensen,%20Gerald%20R.&rft.date=1996-02-01&rft.volume=40&rft.issue=2&rft.spage=213&rft.epage=237&rft.pages=213-237&rft.issn=0304-405X&rft.eissn=1879-2774&rft.coden=JFECDT&rft_id=info:doi/10.1016/0304-405X(96)89537-7&rft_dat=%3Cproquest_cross%3E9412082%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=231791274&rft_id=info:pmid/&rft_els_id=0304405X96895377&rfr_iscdi=true |