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[{"key": "dc.contributor.advisor", "value": "Raatikainen, Juhani", "language": "", "element": "contributor", "qualifier": "advisor", "schema": "dc"}, {"key": "dc.contributor.author", "value": "J\u00e4ntti, Ville", "language": "", "element": "contributor", "qualifier": "author", "schema": "dc"}, {"key": "dc.date.accessioned", "value": "2022-06-14T05:27:02Z", "language": null, "element": "date", "qualifier": "accessioned", "schema": "dc"}, {"key": "dc.date.available", "value": "2022-06-14T05:27:02Z", "language": null, "element": "date", "qualifier": "available", "schema": "dc"}, {"key": "dc.date.issued", "value": "2022", "language": "", "element": "date", "qualifier": "issued", "schema": "dc"}, {"key": "dc.identifier.uri", "value": "https://jyx.jyu.fi/handle/123456789/81682", "language": null, "element": "identifier", "qualifier": "uri", "schema": "dc"}, {"key": "dc.description.abstract", "value": "The thesis studies time variation of the cross-sectional stock returns. The aim of the study is to identify and quantify economic factors behind the common variation of the cross-sectional returns both theoretically and empirically. Identifying and quantifying economic factors behind the common variation of stock prices is important. Common variation in stock prices affects the measure of systematic risk that rational investors use to evaluate stocks and financial wealth in the real economy. The study examines especially monetary policy\u2019s heterogeneous effects on the firm level and further on the portfolio level.\n\nThe earlier studies have mainly focused on the unconditional linear econometric frameworks. However, the presence of regimes in the macroeconomy infers a regime switching structure in equity returns\u2019 means, volatilities, autocorrelations, and cross-covariances. Thus, globally linear models may lead to an efficiency loss in the estimation process. This study thereby studies portfolios\u2019 returns behavior by using both the conditional linear econometric framework and the nonlinear econometric framework. The nonlinear regime switching framework is constructed by using the Hamilton\u2019s (1989) Markov regime switching framework and by calibrating the model to allow two regimes. The research data consists of U.S. stock market stocks from January 1990 to December 2020 sorted on book-to-market equity portfolios. The independent variables consist of monetary, business cycle, credit market, and investor sentiment variables. The key contribution of this thesis is to measure the impact of unconventional monetary policy actions by using Wu\u2019s and Xia\u2019s (2016) shadow rate. The shadow rate measures the monetary policy actions in the zero lower bound environment when the nominal interest rates are restricted by the zero lower bound.\n\nThe empirical results show that the research portfolios\u2019 returns are time varying and regime dependent. Market volatility can be considered to be one factor affecting the regime switches. The portfolios\u2019 beta-parameters behave asymmetrically between the portfolios and the states. The finding is coherent with the economic theories behind the behavior of portfolios\u2019 returns. The nonlinear Markov switching econometric framework offers findings of the research portfolios\u2019 parameter estimates that the simple linear econometric framework is unable to detect. The nonlinear econometric framework\u2019s results suggest that monetary policy regimes have statistically and economically significant effect on the portfolios\u2019 returns and the value premium (difference between high and low book-to-market ratio portfolios\u2019 returns) in the research sample. The result is coherent with the economic role of the monetary policy and with the earlier research findings. Monetary policy regimes can be connected asymmetrically to expectations of firms\u2019 cash flows and/or discount rates applied by investors. The finding of returns regime dependency provides support to the nonlinear econometric framework and highlights the importance of conditioning information in evaluation of expected returns.", "language": "en", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Submitted by Miia Hakanen (mihakane@jyu.fi) on 2022-06-14T05:27:02Z\nNo. of bitstreams: 0", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Made available in DSpace on 2022-06-14T05:27:02Z (GMT). No. of bitstreams: 0\n Previous issue date: 2022", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.format.extent", "value": "106", "language": "", "element": "format", "qualifier": "extent", "schema": "dc"}, {"key": "dc.format.mimetype", "value": "application/pdf", "language": null, "element": "format", "qualifier": "mimetype", "schema": "dc"}, {"key": "dc.language.iso", "value": "eng", "language": null, "element": "language", "qualifier": "iso", "schema": "dc"}, {"key": "dc.rights", "value": "In Copyright", "language": "en", "element": "rights", "qualifier": null, "schema": "dc"}, {"key": "dc.subject.other", "value": "financial markets", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "nonlinear estimation", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "regime switching", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "time-varying returns", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.title", "value": "Monetary Policy, Time Variation of Equity Returns, and Regime Switching", "language": "", "element": "title", "qualifier": null, "schema": "dc"}, {"key": "dc.type", "value": "master thesis", "language": null, "element": "type", "qualifier": null, "schema": "dc"}, {"key": "dc.identifier.urn", "value": "URN:NBN:fi:jyu-202206143291", "language": "", "element": "identifier", "qualifier": "urn", "schema": "dc"}, {"key": "dc.type.ontasot", "value": "Pro gradu -tutkielma", "language": "fi", "element": "type", "qualifier": "ontasot", "schema": "dc"}, {"key": "dc.type.ontasot", "value": "Master\u2019s thesis", "language": "en", "element": "type", "qualifier": "ontasot", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4 University School of Business and Economics", "language": "en", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4n yliopiston kauppakorkeakoulu", "language": "fi", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.department", "value": "Taloustieteet", "language": "fi", "element": "contributor", "qualifier": "department", "schema": "dc"}, {"key": "dc.contributor.department", "value": "Business and Economics", "language": "en", "element": "contributor", "qualifier": "department", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "Jyv\u00e4skyl\u00e4n yliopisto", "language": "fi", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "University of Jyv\u00e4skyl\u00e4", "language": "en", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Taloustiede", "language": "fi", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Economics", "language": "en", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "yvv.contractresearch.funding", "value": "0", "language": "", "element": "contractresearch", "qualifier": "funding", "schema": "yvv"}, {"key": "dc.type.coar", "value": "http://purl.org/coar/resource_type/c_bdcc", "language": null, "element": "type", "qualifier": "coar", "schema": "dc"}, {"key": "dc.rights.accesslevel", "value": "restrictedAccess", "language": null, "element": "rights", "qualifier": "accesslevel", "schema": "dc"}, {"key": "dc.type.publication", "value": "masterThesis", "language": null, "element": "type", "qualifier": "publication", "schema": "dc"}, {"key": "dc.subject.oppiainekoodi", "value": "2041", "language": "", "element": "subject", "qualifier": "oppiainekoodi", "schema": "dc"}, {"key": "dc.subject.yso", "value": "rahapolitiikka", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "arvopaperimarkkinat", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "monetary policy", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "security market", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.format.content", "value": "fulltext", "language": null, "element": "format", "qualifier": "content", "schema": "dc"}, {"key": "dc.rights.url", "value": "https://rightsstatements.org/page/InC/1.0/", "language": null, "element": "rights", "qualifier": "url", "schema": "dc"}, {"key": "dc.rights.accessrights", "value": "The author has not given permission to make the work publicly available electronically. Therefore the material can be read only at the archival workstation at Jyv\u00e4skyl\u00e4 University Library (https://kirjasto.jyu.fi/collections/archival-workstation).", "language": "en", "element": "rights", "qualifier": "accessrights", "schema": "dc"}, {"key": "dc.rights.accessrights", "value": "Tekij\u00e4 ei ole antanut lupaa avoimeen julkaisuun, joten aineisto on luettavissa vain Jyv\u00e4skyl\u00e4n yliopiston kirjaston arkistoty\u00f6semalta. Ks. https://kirjasto.jyu.fi/kokoelmat/arkistotyoasema..", "language": "fi", "element": "rights", "qualifier": "accessrights", "schema": "dc"}, {"key": "dc.type.okm", "value": "G2", "language": null, "element": "type", "qualifier": "okm", "schema": "dc"}]
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