Federal Funds Target Rate Surprise and Equity Duration
Description:
In this paper I use an equity duration framework to develop and empirically test the hypothesis that returns on growth stock portfolios react more strongly to Federal Funds target rate change announcements, as compared to value stock portfolios. When I decompose the Federal Funds rate change, I find that portfolio returns are only sensitive to rate shocks, as opposed to the predictable component of rate change. Since growth stocks are expected to have higher duration than value stocks, I furthe…
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Date:
May 2013
Creator:
Tee, Kienpin
Partner:
UNT Libraries