firm characteristics and stock markets’ asymmetric reactions to monetary policy surprises

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1、FirmCharacteristicsandStockMarkets’AsymmetricReactionstoMonetaryPolicySurprisesUNVERSITYOFVAASAFACULTYOFBUSINESSSTUDIESDEPARTMENTOFACCOUNTINGANDFINANCESimoLepp??nenFIRMCHARACTERISTICSANDSTOCKMARKETS’ASYMMETRICREACTIONSTOMONETARYPOLICYSURPRISESMaster’sT

2、hesisinAccountingandFinanceLineofFinanceVAASA20111ABSTRACT71>.INRODUCTION91>.1>.Thepurposeofthethesis111>.2>.Researchhypotheses121>.3>.Overviewofthethesis222>.PREVIOUSSTUDIES242>.1>.Theimportanceofchoosingmonetarypolicyindicator242>.2>.Macroeconomiccyc

3、leasanexplanationforpricebehavior252>.3>.Thesenseoffirm’ssizeandfinancialsituation27><62>.4>.Thesensitivityofindustryonmonetarypolicy283>.DETERMINATIONOFSTOCKPRICE303>.1>.Pricingmodelsbasedondiscounting313>.2>.Theimportanceofmacroeconomicinformation334

4、>.MARKETEFFICIENCY354>.1>.Rationalexpectationsandoptimalforecasts354>.2>.Efficientmarkethypothesisandformsofmarketefficiency3<64>.3>.Efficientmarketsinmonetarypolicycontext3<65>.THEROLEOFMONEYANDTHEECBMONETARYPOLICY385>.1>.Theequilibriumofmoneydemandan

5、dmoneysupply395>.2>.ThebasicinformationoftheECB435>.3>.Theimportanceofmonetarypolicytransparency445>.4>.Thecentralbank’scommunication475>.5>.Themostusedmonetarypolicyinstruments495>.5>.1>.TheECB’susedinstruments505>.5>.2>.TheECBpublishingthelevelofkeyi

6、nterestrates525>.<6>.Thetransmissionmechanismofmonetarypolicy52<6>.DATAANDMETHODOLOGY5<6<6>.1>.Monetarypolicydatadescription5<6<6>.2>.Stockmarketdatadescription<623<6>.3>.Methodology<637>.EMPIRICALRESULTS<657>.1>.Asymmetricreturnsoffirmcharacteristicba

7、sedportfolios<657>.2>.Portfolioreturnsafterpositiveandnegativemonetarypolicysurprises758>.CONCLUSIONS81SOURCES84APPENDICES975FIGURESFigure1>.Asymmetrybetweengainsandlosses>.17Figure2>.Asymmetriceffectsbetweenthedirectionsofthesurprises>.18Figure3>.Simp

8、lemonetaryequilibriummodel>.40Figure4>.Thereadjustmentinmoneymarketdisequilibrium>.41Figure5>.Auctionprocessinthemainrefinancingoperation>.51Figure<6>.Thetransmissionmechanismsofmonetarypolicy>.53Figure7>.ThekeyECBinterestrateandshort-t