search query: @indexterm CROSS-SECTIONAL MODELS / total: 23
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| Author: | Jensen, G.R. Mercer, J.M. |
| Title: | Monetary policy and the cross-section of expected stock returns |
| Journal: | Journal of Financial Research
2002 : SPRING, VOL. 25:1, p. 125-139 |
| Index terms: | CROSS-SECTIONAL MODELS MONETARY POLICY STOCK RETURNS |
| Language: | eng |
| Abstract: | Ample evidence shows that size and book-to-market equity explain significant cross-sectional variation in stock returns, whereas beta explains little or none of the variation. Recent studies also demonstrate that proxies for monetary stringency increase the explained variation in stock returns. The authors re-examine a three-factor model that includes beta, size and book-to-market equity, while allowing monetary conditions to influence the relations between these risk factors and average stock returns. |
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