| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24748 |
| 来源ID | Working Paper 24748 |
| Monetary Momentum | |
| Andreas Neuhierl; Michael Weber | |
| 发表日期 | 2018-06-25 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We document a large return drift around monetary policy announcements by the Federal Open Market Committee (FOMC). Stock returns start drifting up 25 days before expansionary monetary policy surprises, whereas they decrease before contractionary surprises. The cumulative return difference across expansionary and contractionary policy decisions amounts to 2.5% until the day of the policy decision and continues to increase to more than 4.5% 15 days after the meeting. Standard returns factors and time-series momentum do not span the return drift around FOMC policy decisions. The return drift is a market-wide phenomenon and holds for all industries and many international equity markets. A simple trading strategy exploiting the drift around FOMC meetings increases Sharpe ratios relative to a buy-and-hold investment by a factor of 4. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w24748 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582420 |
| 推荐引用方式 GB/T 7714 | Andreas Neuhierl,Michael Weber. Monetary Momentum. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24748.pdf（902KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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