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left000The University of South Florida presents25781006794500 Interdisciplinary Data Sciences Consortium Seminar SeriesMarch 8, 2019, 2:00-3:00pmLocation: ISA 3050Featuring Dr. Williams JaredFinance DepartmentUniversity of South FloridaTitle: When Bankers go to Hail: Insights on Fed-Bank Interactions from Taxi Cab DataAbstract: We introduce taxi cab ridership between the Federal Reserve Bank of New York and large financial institutions headquartered in New York City as a novel proxy for Fed activity. A market timing strategy that buys the market portfolio (risk-free asset) when lagged Fed-bank ridership is low (high) earns a 50% larger Sharpe ratio than the market portfolio. The strategy's superior performance is especially pronounced around FOMC meetings. We also find highly statistically significant evidence that late-night meetings at the New York Fed and lunchtime offsite interactions increase around FOMC meetings, which suggests increased opportunities for Federal Reserve information to flow to markets along informal or discreet channels.To learn more, visit: Biography: Jared Williams is an assistant professor of finance at the University of South Florida's Muma College of Business. His primary research interests are in behavioral finance. He has published in many of the Financial Times top business journals, including the Journal of Accounting Research, Management Science, the Review of Finance and Contemporary Accounting Research. In addition, he has published in many prestigious economics journals, including the Journal of Business and Economic Statistics, the Journal of Money, Credit, and Banking, and the Journal of Applied Econometrics. He received his PhD in finance from Northwestern University in 2009. Before joining USF, he taught at Penn State University's Smeal College of Business and at the University of Notre Dame's Mendoza College of Business. IDSC Contact: Dr. K. RamachandranUniversity of South Florida 4202 E Fowler Ave, CMC317 Tampa, FL 33620-5700E‐mail: ram@usf.edu, Telephone: (813)‐974‐1270-44450065278000 ................
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