Abstract
This paper examines how the performance of low-risk anomalies varies over the FOMC cycle as they are expected to be weaker as uncertainty is resolved following an FOMC meeting. We form a low-minus-high risk portfolio or betting-against-risk (BAR) portfolio, mimicking low-risk anomalies, using four proxies of risk, and find the biweekly pattern of returns for all four BAR portfolios after the FOMC meeting consistent with Cieslak et al. (2019). Taking advantage of the FOMC meeting schedule being known in advance, we propose dynamic BAR strategies. We find that the dynamic BAR strategy significantly outperforms the original low-minus-high risk portfolio.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
