Honors College Theses

Publication Date



Finance (BBA)

Document Type and Release Option

Thesis (open access)

Faculty Mentor

Axel Grossmann


This study explores the impact of Federal Reserve policy changes on returns and volatility of U.S. equity markets, including large cap, mid cap, and small cap as well as the eleven sectors of the S&P 500. Federal Reserve policy changes in this study are measured by changes in the federal funds target rate. To measure the impact of these rates on U.S. equity markets, I construct a longitudinal dataset inclusive of exchange traded funds (ETFs) that serve as proxies for all eleven sectors, as well as one index and two ETFs that capture the performance of small, mid, and large market capitalization stocks. The monthly performance of these variables are matched against the respective dates of federal funds rate data.