NBER’s Behindhand Announcement, from Victor Niederhoffer
And of course, how will the Fed be able to finesse a stimulatory action tomorrow in conjunction with this announcement. And most important, were any Clarkian winners at the bureau who might have been anticipated without any direct contact to take care that they didn't announce it too far away or too unseemingly close to any voting.
Kim Zussman writes:
NBER announcement dates only go back to 1980. For these end of recession announce-dates, here are the SP500 returns for day-of announcement, next day (from close of announcement day), 5D, 10D, and 20D:
Date day of nxt day 5d 10d 20d
07/17/03 -0.012 0.012 0.000 0.009 0.009
07/08/83 -0.003 0.006 -0.017 0.011 -0.032
12/22/92 -0.001 -0.003 -0.003 -0.022 -0.011
07/08/81 0.001 0.008 0.015 -0.009 0.034
avg -0.004 0.006 -0.001 -0.003 0.000
stdev 0.006 0.006 0.013 0.015 0.028
Historically nothing much, but then how do these compare with The Great Recession?