FOMC Cycle Trading Strategy in Quantstrat
Another hotly anticipated FOMC meeting kicks off next week, so I thought it would be timely to highlight a less well-known working paper, “Stock Returns over the FOMC Cycle”, by Cieslak, Morse and Vissing-Jorgensen (current draft June 2014). Its main result is:Over the last 20 years, the average excess return on ... [Read more...]