Do central bank cycles drive stock returns? New evidence from the US, UK, and Japan


Cieslak et al. (2019) show that the equity premium in the US since 1994 is earned entirely in even weeks of the Federal Open Market Committee meeting cycle and that these same even weeks also drive international stock returns. Updating their data, I find that their US result does not hold out-of-sample and show that with an extended sample, the result loses its robustness as early as 2004. I construct central bank cycles for the Bank of England and the Bank of Japan and show, when accounting for potential pre-announcement effects, their international result also no longer holds.

Ali Uppal
Ali Uppal
PhD Candidate in Economics

Ali Uppal is a PhD Candidate in Economics at the University of California San Diego.