The effects of US monetary policy on value stocks and growth stocks
| dc.contributor.author | Vartanian P.R. | |
| dc.contributor.author | de Lemos R.A.M. | |
| dc.contributor.author | de Moura Junior A.A. | |
| dc.date.accessioned | 2025-04-01T06:22:59Z | |
| dc.date.available | 2025-04-01T06:22:59Z | |
| dc.date.issued | 2024 | |
| dc.description.abstract | © The Author(s), under exclusive licence to Springer Nature Switzerland AG 2024.The present research aimed to investigate the effects of monetary policy on the US stock market between December 2008 and December 2021. This period had a significant absolute return advantage for growth stocks over value stocks, in contrast to research that has historically shown an advantage for value stocks over growth stocks. For this reason, we sought to examine whether the monetary policy of the period would have benefited growth stocks through the application of a vector autoregressive (VAR) model with an error correction vector (VEC model), using as variables four exchange-traded funds (ETFs) that passively follow indices, two of which are value and two growth. The total assets on the Federal Reserve (Fed) balance sheet were utilized to analyze the effects of monetary policy in this period. The results demonstrated, by the generalized impulse-response functions, the greater long-term elasticity of growth ETFs to shocks in the value of Fed assets, confirming the hypothesis that monetary stimuli positively influenced the absolute returns of stock price growth and value in the demarcated period, with greater benefits for growth stocks. | |
| dc.description.issuenumber | 5 | |
| dc.description.volume | 4 | |
| dc.identifier.doi | 10.1007/s43546-024-00655-0 | |
| dc.identifier.issn | None | |
| dc.identifier.uri | https://dspace.mackenzie.br/handle/10899/40430 | |
| dc.relation.ispartof | SN Business and Economics | |
| dc.rights | Acesso Restrito | |
| dc.subject.otherlanguage | Growth stock | |
| dc.subject.otherlanguage | Monetary policy | |
| dc.subject.otherlanguage | Stock market | |
| dc.subject.otherlanguage | Value stock | |
| dc.title | The effects of US monetary policy on value stocks and growth stocks | |
| dc.type | Artigo | |
| local.scopus.citations | 0 | |
| local.scopus.eid | 2-s2.0-86000733283 | |
| local.scopus.updated | 2025-04-01 | |
| local.scopus.url | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=86000733283&origin=inward |