On Monetary Policy and Stock Market Anomalies
“Full sample results show that value, small capitalization and past loser stocks are more exposed to monetary policy shocks in comparison to growth, big capitalization and past winner stocks.”
AssetEquities
StrategyMacro signals
GeographyUS
Sample window1967–2007
Also stated: Macro
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMacro signals and regime strategies by year
FamilyMacro signals and regime strategies49Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 953
AssetEquities25
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