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Contribution Details
Type | Master's Thesis |
Scope | Discipline-based scholarship |
Title | Swiss stock return patterns around Federal Open Market Committee meetings |
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Institution | University of Zurich |
Faculty | Faculty of Business, Economics and Informatics |
Date | 2018 |
Abstract Text | The goal of my thesis was to examine if there are excess stock return patterns around Federal Open Market Committee (FOMC) meetings similar to the biweekly patterns found by Cieslak et al (2016). The thesis extends in the way that possible explanatory variables are tested and evaluated. Industry indices will be examined and their behavior in the biweekly cycle intuitionally explained. The collected data and properties will then be used to create trading strategies that maximize returns and their performance metrics will be assessed. |
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Export | BibTeX |