By Jensen, Robert R. Johnson, Jeffrey M. Mercer
Even if financial coverage is largely believed to steer funding functionality, strangely little proof exists to verify the character or value of the relationship. during this monograph, the authors examine and record the relation among financial coverage and funding functionality. In reading the correlation among directional adjustments within the price and diverse asset periods, they unearth staggering findings for U.S. inventory returns particularly.
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Extra resources for The Role of Monetary Policy in Investment Management
Stocks. S. stocks is materially less than perfect. Indeed, much of the original interest for investing in international securities stemmed from the substantial diversification benefits indicated by Grubel (1968), Levy and Sarnat (1970), Solnik (1974), and Lessard (1976). , Sinquefield 1996), Gorman (1998) contends that international securities continue to be an attractive investment. book Page 31 Thursday, November 9, 2000 11:17 AM Monetary Conditions and the Performance of Various Asset Classes tional equities is the nonsynchronized monetary policies pursued by the various countries.
Performance statistics for commodity futures relative to monetary conditions. In this analysis, we use the GSCI total return index, which represents the return from a fully collateralized commodity futures investment and is designed to be comparable to an investment in stocks or bonds. The total return equals the return for the futures contract plus the T-bill rate earned on the face value of the futures. ) Once again, the stock index is the CRSP valueweighted NYSE, Amex, and Nasdaq index, which is presented for comparison purposes.
8 percent, respectively. S. S. and EAFE markets. S. S. monetary policy. Capitalization Numerous studies present evidence identifying a premium associated with investing in small-cap stocks (see Banz 1981; Basu 1983; Rosenberg, Reid, and Lanstein 1985; Reinganum 1988; Jacobs and Levy 1989; Keim 1990; Harris and Marston 1994; Fama and French 1995; and Cole, Helwege, and Laster 1996). The findings from these studies indicate that even after the higher risk associated with investing in small-cap stocks is controlled for, small-cap stocks produce excess returns.
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