Market efficiency, discount-rate changes, and stock returns: A long-term perspective
This paper examines the market efficiency issue by analyzing stock returns surrounding Fed announcements of discount-rate changes. Based on an analysis ofex post returns over a 58-year period, the results provide evidence of long-term market efficiency. Consistent with recent literature, the findings also reveal some predictability in return patterns where an active trading strategy based on directional reversals in the pattern of discount rate changes outperforms a passive buy-and-hold approach. The results indicate that the proposed active trading produces substantially higher risk-adjusted returns than the buy-and-hold strategy. Copyright Springer 1999
Year of publication: |
1999
|
---|---|
Authors: | Prather, Laurie ; Bertin, William |
Published in: |
Journal of Economics and Finance. - Springer, ISSN 1055-0925. - Vol. 23.1999, 1, p. 56-63
|
Publisher: |
Springer |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Value Creation and Determinants of Equity Fund Performance
Payne, Thomas H., (1999)
-
The Implication of Discount Rate Changes for Market Timing
Prather, Laurie, (1998)
-
Bertin, William, (2005)
- More ...