The dissertation on hand studies empirically the financial accelerator's effects on stock returns. An alteration in the monetary policy of central banks or occurring booms and recessions have cross-sectionally different effects on small and large firms. Small firms, typically those that rely on posting credit collateral to keep borrowing costs low, are affected two-fold: their collateral values are affected as well as their cash flows. Both effects ? collateral effect and cash flow effect ? change their debt capacities, which in turn makes them more vulnerable to accerlator-style, procyclical movements of their investments. The financial accelerator is a, by now, well established macroeconomic concept and is transferred to a stock market setting. Hence, the primary research question of this dissertation is, whether the risk of not being able to obtain fresh external capital, is priced by the market and its participants. Due to that risk being systemic, in the way that it cannot be fully diversified away by investors, a risk premium is hypothesized to be demanded by rational stock investors. Contrary to this, large firms' debt capacities are unaffected by both collateral effects and cash flow effects. Thus, large firms are not exposed to the systemic risk of being financially constrained, which results in the hypothesized cross-sectional difference in expected stock returns. The hypothesis that firms, which were a priori classified as being financially constrained, indeed exhibit a higher stock return, when compared to unconstrained firms, was investigated using the well-known Fama/MacBeth (1973) method. The results obtained open up another way, in which monetary policy affects the economy. The study further contains evidence in favor of progressing financial market integration within the Eurozone.