Year: 1982
Type: report
Abstract: This paper investigates the short-run effect of unexpected changes in the weekly money stock on common stock prices.Survey data on money market participants' forecasts of money changes are employed to construct the measure of unanticipated movements in the money stock.The results indicate that an unexpected increase in money depresses stock prices and, consistent with the efficient markets hypothesis, only the unexpected part of the weekly money announcement causes stock price fluctuations.The October 1979 change in Federal Reserve operating procedures appears to have made stock prices somewhat more sensitive to large money surprises.
DOI: 10.3386/w0958
Authors: Douglas Pearce, V. Vance Roley
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1507017085