Profitable Timing of the Stock Market with the Senior Loan Officer Survey talk at the ABR Conference
This paper is forthcoming in FINANCE RESEARCH LETTERS. A link to it is at
https://www.sciencedirect.com/science...
Dr. Linus Wilson gave this talk in New Orleans on March 24, 2023, at the Academy of Business Research conference.
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 alpha model to market time the S&P 500. It outperformed the S&P 500 with a Sharpe (1966) ratio of 1.9 versus 0.34 for passive investment.
Keywords: alpha, commercial and industrial loans, investing, loan standards, market efficiency, market timing, stock market, portfolio theory, returns, risk-model, semi-strong form, Senior Loan Officer Survey, Sharpe ratio, survey
JEL Classification: G11, G14, G17, & G21
See all of Dr. Linus Wilson's research at www.financeprofessor.org or www.linuswilson.com
