Open AccessStock Returns And Monetary Aggregates
Author(s) -
Ka-fu Wong
Publication year - 2011
Publication title -
journal of applied business research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.149
H-Index - 22
eISSN - 2157-8834
pISSN - 0892-7626
DOI - 10.19030/jabr.v5i3.6347
Subject(s) - stock (firearms) , economics , monetary economics , monetary policy , stock market , econometrics , financial economics , mechanical engineering , engineering , paleontology , horse , biology
This paper examines the relationship between stock returns and money growth using the regression framework of Sims and Akaikes final prediction error criterion. Stock returns are found to lead unexpected money growth. Investors seem to base their decisions on anticipated short run monetary policy. Empirical results suggest that the market is efficient, although returns for large firms seem to adjust to new information faster than their smaller counterparts.