For our interest rate change variable, we use changes in the . 3-month commercial paper rate. A short-term commercial paper rate is a reasonable proxy for the risk-free rate (., Fama and French 2001), and the risk-free rate is a component of the discount rates of both stocks and bonds. Unfortunately, daily data for the commercial paper rate are available only after 1970, with weekly increments before that. This data limitation prompts us to present two sets of results. Panel A of Table 4 presents the first set of results for the period 1915-1970, where the.
