Aggregate earnings surprises, monetary policy, and stock returns

• Published in: Journal of accounting & economics Vol. 62; no. 1; pp. 103 - 120
• Main Authors: Gallo, Lindsey A., Hann, Rebecca N., Li, Congcong
• Format: Journal Article
• Language: English
• Published: Amsterdam Elsevier B.V 01.08.2016; Elsevier Sequoia S.A
• Subjects: Aggregate earnings; Earnings; Federal funds futures; Federal funds rate; Federal Reserve monetary policy; Monetary policy; Rates of return; Securities markets; Stock returns; Studies; United States; United States > US; E52; E44; Monetary policy; Aggregate earnings; Stock returns; M41; Federal funds futures

This paper examines whether the negative association between aggregate earnings and returns is explained by the monetary policy news in aggregate earnings. Using Federal funds futures data to construct a measure of policy news, we find that aggregate earnings convey information about the Fed׳s polic...