Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....

This paper studies the impact of monetary policy shocks on equity returns and their volatility among nine industries and their affiliated firms in the U.S. We use an extension of the traditional Capital Asset Pricing Model as the analytical framework and approximate policy shocks with the...