Three scholars affiliated with JPMorgan Chase (JPM) have written a paper on hedge fund behavior ahead of meetings of the Swiss National Bank, with the idea of shedding light on the consequences of the timing of central bank announcements more generally.
They conclude that the SNB contributed to the volatility of the exchange rate between the Swiss franc and the Euro on Jan. 15, 2015 by its decision to make that move as a surprise announcement between its regularly scheduled meetings. Given the pattern of hedge fund trading pegged to those meetings, an announcement of