Profitable Timing of the Stock Market with the Senior Loan Officer Survey

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United States Linus Wilson
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Published on ● Video Link: https://www.youtube.com/watch?v=9d5MGZXlNl4


Duration: 28:52
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1

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



Wilson, Linus, Profitable Timing of the Stock Market with the Senior Loan Officer Survey (January 21, 2023). Available at SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4332525



See all of Dr. Linus Wilson's research at www.financeprofessor.org or www.linuswilson.com



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