Dr Mungo Wilson, Oxford Saïd Business School

Both US and international stock markets enjoy high returns and Sharpe ratios on days of scheduled FOMC meetings, consistent with global investors demanding a premium to bear risks associated with Federal Reserve decisions.

There is no comparable result for other major central banks, whose announcements do not command positive risk premia either globally or, more surprisingly, domestically. Other macroeconomic announcements have impact on local stock markets and, to some extent, even on the US market. These findings suggest that the Federal Reserve exerts a unique impact on global equity prices that does not simply stem from the size and importance of the US economy.

Speaker bio

Mungo Wilson is an Associate Professor of Financial Economics at Oxford Saïd Business School. He read PPE at the University of Oxford, obtained his doctoral degree in economics from Harvard University and has since taught at HKUST, LSE and Saïd. His recent work has mostly been on the high average returns observed around important pre-scheduled announcements, such as the regular FOMC communique or firms’ quarterly earnings releases, but he also has papers on mutual funds, return and default forecasting, and contagion.

Address

Trumpington St
Cambridge,
CambridgeshireCB2 1AG,
United Kingdom

Date & time

Date: 24 May 2016
Start Time: 12:30
End Time: 14:00

Audience

Open to: Members of the University of Cambridge

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Event location


Trumpington St
Cambridge,
CambridgeshireCB2 1AG,
United Kingdom

Event timings

Date: 24 May 2016
Start Time: 12:30
End Time: 14:00