Does Monetary Policy Have Asymmetric Effects on Stock Returns

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Investor Sentiment and the Stock Market’s Reaction to Monetary Policy (2010, unknown): “where BPt is the smoothed probability of the bull market regime from Chen (2007). The coefficients c1 and c2 measure the average stock market response to monetary news in bull and bear markets, respectively.”
Stock Market Reaction to Fed Funds Rate Surprises: State Dependence and the Financial Crisis (2013, background): “Nevertheless, the problem of endogeneity in the relationship between monetary policy and stock market performance should be less potent when higher frequency data, such as daily data, are used within an event study framework (see e.g. Bredin et al., 2009; Chen, 2007; Kurov, 2010).”