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The Journal of Wealth Management

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Primary Article

Equity Industry Returns and Monetary Policy

Robert R. Johnson, Gerald R. Jensen and Jeffrey M. Mercer
The Journal of Wealth Management Spring 2001, 3 (4) 61-68; DOI: https://doi.org/10.3905/jwm.2001.320396
Robert R. Johnson
Senior vice president of the Association for Investment Management and Research in Charlottesville, VA
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Gerald R. Jensen
Professor of finance at Northern Illinois University in DeKalb
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Jeffrey M. Mercer
Associate professor of finance and acting associate dean at Northern Illinois University in DeKalb
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Abstract

This article carries forward an extensive body of research, which has shown that prominent monetary-policy-related return patterns exist across several general security classes. The focus of this study is on the prevalence of the return patterns across various subcategories of equity securities. In particular, the authors attempt to reconcile previously contradictory findings that the monetary-policy-related return patterns should or should not differ across industries. They present evidence suggesting that industries differ substantially in their degree of sensitivity to monetary conditions and that the industries with the most prominent patterns appear to be those that rely most heavily on discretionary consumer spending. These results suggest that throughout the time period examined, portfolio managers could have used monetary conditions to improve portfolio performance. The extent to which this information can be exploited depends, of course, on the degree to which the relationship continues to exist in the future.

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The Journal of Wealth Management
Vol. 3, Issue 4
Spring 2001
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Equity Industry Returns and Monetary Policy
Robert R. Johnson, Gerald R. Jensen, Jeffrey M. Mercer
The Journal of Wealth Management Jan 2001, 3 (4) 61-68; DOI: 10.3905/jwm.2001.320396

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Equity Industry Returns and Monetary Policy
Robert R. Johnson, Gerald R. Jensen, Jeffrey M. Mercer
The Journal of Wealth Management Jan 2001, 3 (4) 61-68; DOI: 10.3905/jwm.2001.320396
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