search query: @author Jensen, G. / total: 4
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| Author: | Jensen, G. Mercer, J. Johnson, R. |
| Title: | Business conditions, monetary policy, and expected security returns |
| Journal: | Journal of Financial Economics
1996 : FEB, VOL. 40:2, p. 213-238 |
| Index terms: | FINANCE ECONOMICS MONETARY POLICY |
| Language: | eng |
| Abstract: | The authors 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. The authors 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. The findings indicate that Fama and French's results vary dramatically across monetary environments. |
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