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Monetary Policy Exposure Uncertainty...

Aggarwal, Rishabh,

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Monetary Policy Exposure Uncertainty and Voluntary Disclosure /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Monetary Policy Exposure Uncertainty and Voluntary Disclosure // Rishabh Aggarwal.
作者:	Aggarwal, Rishabh,
面頁冊數:	1 electronic resource (104 pages)
附註:	Source: Dissertations Abstracts International, Volume: 86-04, Section: A.
Contained By:	Dissertations Abstracts International86-04A.
標題:	Friction. -
電子資源:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=31520311
ISBN:	9798342113113

Monetary Policy Exposure Uncertainty and Voluntary Disclosure /
Aggarwal, Rishabh,

Monetary Policy Exposure Uncertainty and Voluntary Disclosure /Rishabh Aggarwal. - 1 electronic resource (104 pages)

Source: Dissertations Abstracts International, Volume: 86-04, Section: A.

This study examines how investors' uncertainty about firms' monetary policy exposures shapes managers' earnings guidance decisions, as well as the resulting effect of that guidance on the heterogeneity in firms' equity return sensitivity to monetary policy surprises. I use the unexpected changes in implied volatility around monetary policy announcements to measure firm-level exposure uncertainty. Employing a weekly difference- in-differences design, I find that in response to a higher unexpected change in implied volatility, managers are more likely to issue earnings guidance in the weeks following the monetary policy announcement. Consistent with the theory that a firm's disclosure facilitates investors' learning about factor exposures, I find that guidance mitigates investors' uncertainty about the firm's exposure to monetary policy. This reduced uncertainty reduces the agency frictions between managers and investors, and consequently affects the monetary policy sensitivity of firms-it moderates the decline in the firm's value when interest rates rise while amplifying the positive effect of rate cuts. These effects are concentrated among the firms whose earnings are more sensitive to policy surprises and are more financially constrained, further suggesting that earnings guidance drives the information friction channel of the monetary policy transmission.

English

ISBN: 9798342113113Subjects--Topical Terms:

650299
Friction.

Monetary Policy Exposure Uncertainty and Voluntary Disclosure /
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