Profitable Timing of the Stock Market with the Senior Loan Officer Survey by Linus Wilson Ep. 17

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   This is not investment advice.