When Bankers Go to Hail

43 Pages Posted: 15 Mar 2018 Last revised: 7 Aug 2018

See all articles by Daniel Bradley

Daniel Bradley

University of South Florida

Matthew Gustafson

Pennsylvania State University - Smeal College of Business

Jared Williams

University of South Florida

Date Written: July 27, 2018

Abstract

We introduce taxi cab ridership between the Federal Reserve Bank of New York and the largest, most systemically important financial institutions headquartered in New York as a novel proxy for Fed activity. High Fed-bank cab ridership in the recent past is negatively related to future stock market returns: a market timing strategy that invests in the market portfolio (risk-free asset) when lagged ridership is low (high) earns a Sharpe ratio that is over 50% larger than the market portfolio. This strategy’s superior performance is especially pronounced during FOMC meetings. Overall, our findings are most consistent with the Fed increasing activity when it possesses negative information about market performance that is ultimately impounded in prices.

Keywords: The Federal Reserve, FOMC, Monetary policy; NY Fed, Taxi ridership

JEL Classification: E50, E52, G20

Suggested Citation

Bradley, Daniel and Gustafson, Matthew and Williams, Jared, When Bankers Go to Hail (July 27, 2018). Available at SSRN: https://ssrn.com/abstract=3141240 or http://dx.doi.org/10.2139/ssrn.3141240

Daniel Bradley

University of South Florida ( email )

Tampa, FL 33620
United States

Matthew Gustafson

Pennsylvania State University - Smeal College of Business ( email )

East Park Avenue
University Park, PA 16802
United States

Jared Williams (Contact Author)

University of South Florida ( email )

Tampa, FL 33620
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
116
rank
234,834
Abstract Views
670
PlumX Metrics
!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information