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.

中文翻译：

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高级信贷员调查的股市获利时机

美联储季度高级贷款官员调查中的贷款标准问题显示，它可以预测发布后一两个月的季度股票回报。这显然违反了半强式股票市场的效率。在样本外，我们使用此信号并开发了一个简单的风险和 alpha 模型来确定标准普尔 500 指数的市场时间。它以 1.9 的夏普 (1966) 比率优于标准普尔 500 指数，而被动投资为 0.34。