اثرات سیاست پولی بر بازده سهام: محدودیت های مالی و بیانیه FOMC "آموزنده" و "غیر آموزنده"

We use firm-level data to reexamine the issue of possibly different impacts of “informative” and “uninformative” FOMC statements on stock returns in the period from 1999 to 2007. Our paper finds that stock returns respond significantly to surprise monetary shocks based on the informative FOMC statements; there is little evidence to show that stock returns respond to surprise monetary shocks based on uninformative statements. We ask how these impacts respond to the relative ability of firms to obtain external finance. Our results indicate that the stock returns of firms that are financially constrained still respond significantly more to monetary policy shocks than less constrained ones based on the informative statements. By comparing firms with medium and low capacities for external finance based on the informative statements, it is found that firms with low capacity for external finance are more significantly affected by the impacts of a surprise monetary policy action than firms with medium capacity for external finance. However, when controlling the capacity for external finance, a monetary surprise has no significant impact on stock returns based on the uninformative statements. We also find that the response of stock returns to a negative target surprise is significant. However, the response to a positive target surprise is insignificant, which implies that market investors respond more rationally to good news (negative target surprises) than to bad news (positive target surprises). For a good news monetary shock, informative statements have larger impacts on stock returns than uninformative statements. However, for a bad news monetary shock, neither informative nor uninformative statements have significant impacts on stock returns.

There are several articles that have sought to investigate how monetary policy influences stock returns. Kwapil and Scharler (2013) find the evidence the expected changes in monetary policy rates influence bank lending rates in the U.S., therefore it implies monetary policy shocks affect firm's investments and stock returns. Chao, Hu, Tai, and Wang (2011) use a monetary framework with stock markets to find that monetary policy announcements cause stock prices have various dynamic adjustments. Bernanke and Kuttner (2005) find that the stock market is unlikely to respond to anticipated monetary policy actions. Some articles show that stock returns respond strongly to surprise changes in the Federal funds rate (Basistha and Kurov, 2008, Bernanke and Kuttner, 2005, Ehrmann and Fratzscher, 2004, Guo, 2004, Jansen and Tsai, 2010 and Laeven and Tong, 2012), while another set of articles examines how monetary policy has asymmetric impacts on stock returns with asymmetries linked to firm characteristics such as capital intensity, firm size, and financial constraints. These asymmetries are of special interest because theoretical work, particularly work on the credit channel of monetary policy, suggests that monetary policy may have asymmetric impacts on firms and firm values depending on firm financial characteristics, even for firms in the same industry. For instance, Ehrmann and Fratzscher (2004) find that capital-intensive industries are affected more by surprise changes in monetary policy. Ehrmann and Fratzscher (2004) report that as firms are more financially constrained, they are more strongly influenced by monetary policy shocks. On the other hand, Scharler (2008) find stock returns of the higher exposure of bank-dependent firms respond more to monetary policy shocks Basistha and Kurov (2008) also find that stock returns respond more strongly to surprise changes in monetary policy during recessions, and in tight credit market conditions. Since the external finance premium is larger in bear markets than it is in bull markets, Jansen and Tsai (2010) and Kurov (2010) provide evidence that the stock returns of firms in a bear market exhibit a higher magnitude response to monetary policy actions than those same firms in a bull market. The above papers describe how the changes in the Federal funds rate target influence the stock returns. Recent studies find that central bank communication also has a significant impact on stock returns (Farka, 2011, Gurkaynak et al., 2005, Kohn and Sack, 2004 and Rosa, 2011). For example, Kohn and Sack (2004) find that days on which there are FOMC statements and testimonies by Alan Greenspan lead to a higher variance in asset prices compared to no-FOMC statement days. Reeves and Sawicki (2007) find that central bank communication creates additional news which is evidenced by an increase in volatility in financial assets. Gurkaynak et al. (2005) show that FOMC statements have explained most of the variation in the 5-year and 10-year yields. FOMC statements always provide some information about the Fed's view on the economic outlook, some important forces that are likely to shape future developments and potential implications for monetary policy. Thus, on policy announcement days, market investors monitor closely not only how much of a change the Fed decides on the interest rate, but also what FOMC statements say. Farka (2011) separates FOMC statements into two groups: “informative” and “uninformative”. The information delivered by an “informative FOMC statement” always creates news in the sense that the content is both important and unexpected. “Uninformative FOMC statements” do not create additional news as their information is well anticipated by the market participants; on the other hand, they may be able to reduce noise by confirming market expectations about the economic outlook and the path of monetary policy. Since informative FOMC statements deliver the unexpected contents of FOMC statements, they could change market investors' expectations about the future path of monetary policy. Farka (2011) therefore finds evidence that informative statements have larger impacts on the S&P 500 index than uninformative statements. Considering that monetary policy affects individual stocks in a strongly heterogeneous fashion, in this paper we are concerned with how individual stocks respond differently to informative and uninformative FOMC statements. We improve on these earlier efforts by using firm-level data to test how individual stocks respond to the content of FOMC statements instead of using the S&P 500 index. Thus, our first goal in this paper is to reinvestigate whether an informative statement has a significantly different impact on individual stock returns compared to an uninformative statement. Besides the credit channel of monetary policy suggesting that monetary policy may have heterogeneous impacts across firms, a number of recent papers have used data on individual stocks to examine the asymmetric response of stock returns to monetary policy announcements between firms with more financial constraints and firms with fewer financial constraints. The capacity for external finance is thought to be lower for firms with more financial constraints. Ehrmann and Fratzscher (2004) provide evidence that stock returns of firms with more financial constraints exhibit a higher magnitude response to monetary policy actions than those firms with fewer financial constraints.1 However, Ehrmann and Fratzscher (2004) use daily stock returns data, and also use daily data for Federal funds futures to measure the surprise component of the Federal funds rate target change. The event-study methodology based on using daily stock returns and measuring the policy action as the surprise component of the change in the Federal funds rate target is a popular approach used to examine the effects of monetary policy on the stock market. See, for example, Laeven and Tong (2012), Jansen and Tsai (2010), Kurov (2010), Basistha and Kurov (2008), Bernanke and Kuttner (2005), Ehrmann and Fratzscher (2004), and Guo (2004). However, one problem with the approach used in these papers, and especially when that approach is combined with the use of stock returns at the daily frequency, is that the day of an FOMC announcement may also be a day when other news occurred that impacted stock returns. This raises the possibility that the effect attributed to monetary policy might in fact reflect a confounding of the effect of monetary policy and the effect of some other factors. This possibility can reduce the precision and bias the estimates of the impact of monetary policy actions on stock returns. Farka (2009) calls this the “omitted variable bias,” the bias resulting from omitting consideration of the other news that occurs on days of FOMC announcements. Farka (2009) also raises the possibility of an “endogeneity bias,” a bias caused by possible simultaneous interactions between stock returns and monetary policy actions. Recent studies have devoted considerable attention to correctly identifying the monetary policy shock. One method of eliminating the “omitted variables bias” is to use higher frequency data (as suggested by Hausman and Wongswan (2011), Ammer, Vega, and Wongswan (2010), Chulia, Martens, and van Dijk (2010), and Farka (2009)). Using intraday stock returns allows the construction of a narrower window around the FOMC announcement, and mitigates the impact of other news occurring on the same day as the FOMC announcement. Because of this, the Ehrmann and Fratzscher (2004) paper may suffer from “omitted variable bias” and “endogeneity bias.” Our second goal in the present paper is to use intraday data to reexamine the issue of possible asymmetries in the impact of monetary policy surprises on the stock returns of financially constrained and unconstrained firms. In order to enable our paper to test the efficient markets hypothesis whereby asset prices should reflect all information available at any point in time, we shrink the window interval of the FOMC announcement. We compute the narrower high-frequency surprise change in the Federal funds rate target in two alternative windows around the FOMC announcement, one of 20 minutes' width and the other of 30 minutes' width. These two windows are 5 min before to 15 min after the announcement, and 10 min before to 20 min after the announcement. We will learn if the results from using daily data are consistent with the results from using intraday data. Our findings in this paper indicate that the stock returns of individual firms are statistically affected in response to an intraday window monetary policy shock. By looking at various measures of financial constraints, our paper shows that firms that are financially constrained respond significantly more to intraday window monetary policy than less constrained ones. Firms with medium and low degrees of financial constraints, are generally not statistically different in response to a monetary policy shock. However, when firms with medium and high financial constraints are compared, it is found that for firms with high financing constraints the impact of a surprise monetary policy action is more significantly affected than for firms with medium financing constraints. That is, our results of using intraday data are consistent with the findings of Ehrmann and Fratzscher (2004) based on daily data. When we take informative and uninformative FOMC statements into account, the results in this paper are similar to those of Bernanke and Kuttner (2005), in which case individual stocks only react to the surprise component of a monetary policy shock, there being no reaction to an anticipated change in a monetary policy shock. Since informative statements are not anticipated by market investors, our paper finds that stock returns respond significantly to surprise monetary shocks in the informative FOMC content. On the other hand, uninformative statements are well anticipated by market investors, and there is little evidence to show that stock returns respond to surprise monetary shocks in uninformative statements. Apart from some studies in the previous literature that concentrate on possible asymmetries in the effects of target rate announcements linked to the business cycle or bull/bear markets, the other papers ask if the stock return response to monetary policy action depends on the direction of the actual target rate change (Bernanke and Kuttner, 2005 and Lobo, 2000). On the other hand, Chulia et al. (2010) investigate how stock returns respond differently to positive and negative target rate surprises [the positive target rate surprises are the bad news for stocks; the negative surprises are the good news for stocks]. Using daily data, Bernanke and Kuttner (2005) find no evidence for asymmetric effects of positive and negative news. By contrast, in using intraday stock returns Chulia et al. (2010) find that negative target surprises in the change in the Federal funds rate target have significantly stronger impacts on stock returns than positive target surprises. That is, Chulia et al. (2010) find that the responses of stock returns to good news are larger than the responses to bad news. This implies that investors respond more rationally to good news than to bad news. It should be noted that Chulia et al. (2010) measured the surprise change in the Federal funds target rate based on the daily change in the current-month Federal funds futures rate on the day of the FOMC announcement, and used intraday stock returns. In this paper, we use both the intraday surprise change in the target and stock returns data to reexamine the issue of possible asymmetries in the impact of positive and negative monetary policy surprises on stock returns. In this paper, we attempt to answer an alternative empirical question, and add the financial constraints of firms to investigate the effect of the information content of the FOMC statement on stock returns. While the content of the FOMC statement is important but is not unexpected by market investors, we investigate whether the stock returns of firms that are more financially constrained still respond significantly to monetary policy shocks based on an informative statement than less constrained ones. Since the FOMC statement's information is well anticipated by the market's investors, we investigate whether firms that are more financially constrained respond differently to monetary policy shocks based on an uninformative statement from less constrained firms. That is, in controlling for the capacity for external finance, we investigate whether in the intraday windows a monetary surprise has a significantly different impact for an informative statement compared to that for an uninformative statement. On the other hand, we investigate whether the capacity for external finance is still an important factor influencing the stock returns in an informative statement or in an uninformative statement. This remainder of this paper is organized as follows. Section 2 describes our empirical data and econometric model. Section 3 reports the empirical results, and Section 4 concludes.

This paper uses firm-level and intraday data to reexamine the issue of possibly different impacts of monetary policy surprises on stock returns between informative and uninformative FOMC statements during the period from 1999 to 2007. We measure the high-frequency surprise change in the Federal funds rate target as the change in the current-month Federal funds rate futures contract in two alternative windows around the FOMC announcement, one of 20 minutes' width and one of 30 minutes' width, using the method proposed by Kuttner (2001). We define the informative and uninformative FOMC statements in a similar way to those defined by Farka (2011). We investigate whether the different effect of monetary policy surprises on intraday stock returns varies by firm size and look at differential impacts across industries based on informative and uninformative FOMC statements. Then we follow Chulia et al. (2010) to investigate whether the responses of stock returns depend on the sign of the surprise change of target. We also focus on testing the hypothesis of differential effects of external debt capacity on stock returns between informative and uninformative FOMC statements using intraday data. We use a list of proxies for the firm's external debt capacity, including the absence of an S&P debt rating, a non-positive dividend payout ratio, the rate of return on equity, the rate of return on investment, the rate of return on assets, net sales per equity, and the net profit margin. As to the results of this paper, we find that only the monetary shocks based on the informative statements significantly influence the stock returns; there is little evidence to indicate that the monetary policy shocks based on the uninformative statements affect the stock returns. The response to negative target surprises is significant; however, the response to positive target surprises is insignificant. Our results imply that investors respond more rationally to good news than to bad news. While using intraday data, our results still suggest that firms that are financially constrained respond significantly more to monetary policy than less constrained ones, and this is consistent with the findings of Ehrmann and Fratzscher (2004) using daily data. By controlling for the capacity for external finance, it is shown that in the intraday windows a monetary surprise has no significantly different impact between the informative and uninformative statements. We find that our intraday surprise change on stock returns is statistically significant for firms with lower, medium, and higher ability to obtain external finance in the informative statement. Within the informative FOMC statement, firms with medium and low ability to obtain external finance respond statistically differently to a monetary policy shock, while firms with medium and high ability to obtain external finance are not statistically different in response to a monetary policy shock. On the other hand, the impacts based on the uninformative FOMC statement for the intraday windows are not found to be statistically significant for either of the two windows. A monetary surprise has a slightly greater impact on the stock returns of firms that have a non-positive dividend payout ratio, or lack a debt rating based on the informative FOMC statement compared to the uninformative FOMC statement. That is, it shows the asymmetric impacts of “informative” and “uninformative” FOMC statements on stock returns.