Individual Stock Returns and Monetary Policy: Evidence from Japanese Data

Masahiko Shibamoto and Minoru Tachibana

The Japanese Economic Review, 2014, vol. 65, issue 3, 375-396

Abstract: type="main">

The present paper uses Japanese firm-level data to investigate the effects of monetary policy on stock. The main purpose of this paper is to examine whether monetary policy has heterogeneous effects on stock returns and whether such heterogeneity can be explained by existing theories of monetary transmission mechanisms. We find little evidence that the demand sides of the interest rate and balance sheet channels explain the heterogeneous effects of monetary policy. However, there is evidence that the supply sides of the interest rate and balance sheet channels, when measured by capital intensity, financial leverage and interest payment burden, can explain its heterogeneous effects.

Date: 2014
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Working Paper: Individual Stock Returns and Monetary Policy: Evidence from Japanese Data (2010)
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