مقصود سرمایه گذار و واکنش بازار سهام به سیاست های پولی

This paper shows that monetary policy decisions have a significant effect on investor sentiment. The effect of monetary news on sentiment depends on market conditions (bull versus bear market). We also find that monetary policy actions in bear market periods have a larger effect on stocks that are more sensitive to changes in investor sentiment and credit market conditions. Overall, the results show that investor sentiment plays a significant role in the effect of monetary policy on the stock market

Monetary policy has two primary goals: price stability and sustainable economic growth. Policymakers recognize, however, that these goals can be achieved only through the effects of monetary policy on financial markets, including equity markets.1Bernanke and Kuttner (2005) examine the effect of the surprise policy actions on stock prices. They show that the stock market reaction to monetary policy is driven primarily by the effect of the unexpected changes in the fed funds target rate on the equity risk premium. Bernanke and Kuttner (2005) argue that the large effect of monetary shocks on expected excess returns may be related to the influence of monetary policy on the riskiness of stocks or on investor risk aversion. They note, however, that their results are also consistent with investor overreaction or excess sensitivity of stock prices to monetary shocks. In other words, investor psychology may play a significant role in the response of equity investors to monetary news. Baker and Wurgler, 2006, Baker and Wurgler, 2007, Brown and Cliff, 2005 and Kumar and Lee, 2006 show that investor sentiment predicts stock returns in the cross-section and in the aggregate. Their findings indicate that investor sentiment moves stock prices and, therefore, affects expected returns. This raises the question whether the effect of monetary news on stocks is driven, at least in part, by the influence of Fed policy on investor sentiment. The purpose of this paper is to address this question empirically. Our empirical methodology accounts for possible asymmetries in the effects of Fed policy in different market regimes (bull versus bear market). We find that monetary policy changes in bear markets have similar directional effects on the aggregate stock returns, investor sentiment and expectations of credit market conditions. We also find that policy decisions have little effect on stock returns and sentiment in bull markets. The reaction of investor sentiment to monetary surprises in bear markets is consistent with the notion that investors believe in the Federal Reserve’s ability to put a “floor” under stock prices in periods of market stress by easing monetary policy. In further analysis, we examine the response of stock returns to monetary news in a cross-section of stocks. The results show that the response of stocks to monetary news depends on sensitivity of stock returns to changes in credit market conditions and sentiment changes. These results lend further evidence that the effect of monetary shocks on investor sentiment plays an important role in the impact of Fed policy on stock returns. Bernanke and Kuttner (2005) show that changes in timing of expected policy actions have no significant effect on stocks on average. Our results show, however, that unexpected changes in timing of target rate decisions have a large effect on stock returns in bear markets. The effect of such timing changes on the stock market can be traced to their impact on investor sentiment and expectations of credit market conditions. According to traditional finance theory, economic news should affect security prices only to the extent that it influences the rational present value of expected future cash flows. This paper presents evidence that investor sentiment plays a significant role in the effect of monetary news on the stock market. Since the stock market is an important conduit of monetary policy, our findings contribute to better understanding of the monetary transmission mechanism.

This paper seeks to answer two interrelated questions. First, do monetary policy decisions affect the sentiment of stock market investors? Second, does the investor psychology influence the stock market’s reaction to monetary news? We find that monetary policy shocks have a strong impact on investor sentiment in bear market periods. Furthermore, our analysis of stock returns on FOMC announcement days shows that stocks that are more sensitive to sentiment changes react much more strongly to monetary news. We also find that changes in timing of otherwise expected policy actions have a large effect on investor sentiment and stock prices in bear markets. Prior research does not account for time variation in the stock market’s response to timing surprises and concludes that such timing changes have no effect on stocks. Overall, our results are consistent with the conjecture of Bernanke and Kuttner (2005) that a market inefficiency driven by investor behavior may contribute to the strong effect of monetary news on stock returns.