Jan 21, 2023
Profitable Timing of the Stock Market with the Senior Loan Officer Survey by Linus Wilson Ep. 17
https://www.podbean.com/media/share/pb-phhn3-136bac2 by Linus Wilson Abstract The loan standards question in the Federal Reserve’s quarterly Senior Loan Officer Survey is shown to be predictive of quarterly stock returns a month or two after its release. This is an apparent violation of semi-strong form stock market efficiency. Out-of-sample, we use this signal and develop a simple risk and…
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