Market moves suggest some investors have figured out ‘surprise’ Fed decisions
Published: June 25, 2018 / Author: MarketWatch
The National Bureau of Economic Research released a paper by Andreas Neuhierl, an assistant professor of finance at Notre Dame’s Mendoza College of Business, and Michael Weber of the University of Chicago Booth School of Business.
Some investors have figured out “surprise changes” the Federal Reserve engineered in interest rates, according to a study distributed Monday by the National Bureau of Economic Research.
In the period from 1994-2009, stocks begin to drift up 25 days before expansionary surprises, the authors found. The same was true for contractionary surprises
“Returns continue to drift in the same direction for another 15 days, which together with the large pre-drift — is the novel fact we document in this paper,” the researchers said.