In this paper we analyse whether the consumption based capital asset pricing model is consistent with asset return data from the French and German stock markets. We evaluate the performance of the C-CAPM by applying the non-parametric methodology of Hansen and Jagannathan and adopting five...

In this paper we investigate the stock market response to international monetary policychanges in the UK and Germany. Specifically, we analyse the impact of (un)expectedchanges in UK and German/Euro area policy rates on UK and German aggregate andsectoral equity returns in an event study. The...

In this paper we investigate the stock market response to international monetary policy changes in the UK and Germany. Specifically, we analyse the impact of (un)expected changes in the UK and German|Euro area policy rates on the UK and German aggregate and sectoral equity returns in an event...

We investigate the influence of changes in UK monetary policy on UK stock returns and the possible reasons behind such a response. Firstly, we conduct an event study to assess the impact of unexpected changes in monetary policy on aggregate and sectoral stock returns. The decomposition of...