Profitable timing of the stock market with the senior loan officer survey

Linus Wilson

Finance Research Letters, 2023, vol. 54, issue C

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 (search for similar items in EconPapers)
JEL-codes: G11 G14 G17 G21 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:54:y:2023:i:c:s154461232300106x

DOI: 10.1016/j.frl.2023.103733

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