FOMC会议前后的时间序列势头

Chicago Booth: Fama-Miller Working Paper Series Pub Date : 2021-02-04 DOI:10.2139/ssrn.3030126

A. Neuhierl, Michael Weber

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引用次数: 31

摘要

我们记录了围绕美国货币政策决策的一种新颖的时间序列动量策略。在扩张性货币政策出台之前，股票收益会上升，而在紧缩性货币政策出台之前，股票收益会下降。漂移前的差异为2.5%，在政策决定后的15天内增加到4.5%。这种差异漂移在各行各业、国际市场和其他资产类别中都很普遍，而且集中在高度不确定性时期。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Time Series Momentum around FOMC Meetings

We document a novel time-series momentum strategy around monetary policy decisions in the US. Stock returns drift upward preceding expansionary monetary decisions and downward before contractionary decisions. The differential pre-drift amounts to 2.5% and increases to 4.5% in the 15 days post policy decision. The differential drift is a pervasive finding across industries, international markets, other asset classes and is concentrated in times of high uncertainty.

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Chicago Booth: Fama-Miller Working Paper Series

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