The relationship between value and growth stock returns, monetary policy and economic activity : evidence from New Zealand, Australia and the US : a thesis presented in partial fulfilment of the requirements for the degree of Masters of Business Studies in Finance at Massey University

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dc.contributor.authorPenberthy, Fiona
dc.date.accessioned2015-06-11T02:41:36Z
dc.date.available2015-06-11T02:41:36Z
dc.date.issued1998
dc.description.abstractThis thesis examines the relationship between monetary policy, economic activity and value and growth stock returns in New Zealand, Australia and the US for the period 1990 to 1997. There is evidence to suggest that in the short-term, there are periods where value stocks outperform growth stocks and vice versa. This study investigates the role a number of economic variables play in driving the relative performances of these two groups of stocks. The primary focus of this study is on the relationship between value and growth stock returns and monetary policy, however, the following economic variables are also included in the analysis: Short-term interest rates, the exchange rate, GDP, inflation, money supply, and a business confidence index. Vector autoregressions form the methodological basis for this research and provide impulse response functions and forecast error variance decompositions that are used to determine relationships between the variables. The major finding of this study is that value stocks in Australia and the US perform relatively better than growth stocks during periods of loosening monetary policy. On the other hand, value stocks in New Zealand perform relatively better than growth stocks during periods of tightening monetary policy.en_US
dc.identifier.urihttp://hdl.handle.net/10179/6690
dc.language.isoenen_US
dc.publisherMassey Universityen_US
dc.rightsThe Authoren_US
dc.subjectMonetary policyen_US
dc.subjectDividendsen_US
dc.subjectStock returns, New Zealanden_US
dc.subjectStock returns, Australiaen_US
dc.subjectStock returns, United Statesen_US
dc.titleThe relationship between value and growth stock returns, monetary policy and economic activity : evidence from New Zealand, Australia and the US : a thesis presented in partial fulfilment of the requirements for the degree of Masters of Business Studies in Finance at Massey Universityen_US
dc.typeThesisen_US
massey.contributor.authorPenberthy, Fionaen_US
thesis.degree.disciplineFinanceen_US
thesis.degree.grantorMassey Universityen_US
thesis.degree.levelMastersen_US
thesis.degree.nameMaster of Business Studies (M.B.S.)en_US
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