Individual Stock Returns and Monetary Policy: Evidence from Japanese Data

Masahiko Shibamoto and Minoru Tachibana

No DP2010-07, Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University

Abstract: This paper examines the effects of Japanese monetary policy on individual firm's stock returns. Our objective is to test whether the firm-specific characteristics associated with the theories of monetary transmission mechanism can account for the heterogeneous responses of individual stock returns. We find that a 1% surprise cut in the call rate target increase stock returns by 3% for the firms with average values of all firm-specific variables, but that this effect is significantly larger for the firms with high capital intensity, low openness, high leverage, high interest payment burden, and low working capital.

Keywords: Monetary policy; Stock returns; Heterogeneity (search for similar items in EconPapers)
JEL-codes: E44 E52 (search for similar items in EconPapers)
Date: 2010-03
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Journal Article: Individual Stock Returns and Monetary Policy: Evidence from Japanese Data (2014)
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