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We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
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) lowers (raises) returns and raises volatility in the majority of cases. On the other hand, ECB news generally increases bank … stock volatility in the U.S. but has little impact within its own domestic banking industry. Whilst our results for the U …
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