The disappearing pre-FOMC announcement drift()

Lucca and Moench (2015) document large average excess returns in U.S. equities before scheduled Federal Open Market Committee (FOMC) meetings from September 1994 to March 2011, leading to a puzzle not explained by standard asset pricing theory. We extend the sample to December 2019. We find that aft...

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Detalles Bibliográficos
Autores principales: Kurov, Alexander, Wolfe, Marketa Halova, Gilbert, Thomas
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7525326/
https://www.ncbi.nlm.nih.gov/pubmed/33013237
http://dx.doi.org/10.1016/j.frl.2020.101781
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author Kurov, Alexander
Wolfe, Marketa Halova
Gilbert, Thomas
author_facet Kurov, Alexander
Wolfe, Marketa Halova
Gilbert, Thomas
author_sort Kurov, Alexander
collection PubMed
description Lucca and Moench (2015) document large average excess returns in U.S. equities before scheduled Federal Open Market Committee (FOMC) meetings from September 1994 to March 2011, leading to a puzzle not explained by standard asset pricing theory. We extend the sample to December 2019. We find that after first appearing before FOMC announcements accompanied by the Fed Chair press conferences, the pre-FOMC drift essentially disappeared after 2015 in both announcements accompanied by press conferences and announcements not accompanied by press conferences. We discuss a possible explanation for this change: reduced uncertainty.
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spelling pubmed-75253262020-09-30 The disappearing pre-FOMC announcement drift() Kurov, Alexander Wolfe, Marketa Halova Gilbert, Thomas Financ Res Lett Article Lucca and Moench (2015) document large average excess returns in U.S. equities before scheduled Federal Open Market Committee (FOMC) meetings from September 1994 to March 2011, leading to a puzzle not explained by standard asset pricing theory. We extend the sample to December 2019. We find that after first appearing before FOMC announcements accompanied by the Fed Chair press conferences, the pre-FOMC drift essentially disappeared after 2015 in both announcements accompanied by press conferences and announcements not accompanied by press conferences. We discuss a possible explanation for this change: reduced uncertainty. Elsevier Inc. 2021-05 2020-09-30 /pmc/articles/PMC7525326/ /pubmed/33013237 http://dx.doi.org/10.1016/j.frl.2020.101781 Text en © 2020 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Kurov, Alexander
Wolfe, Marketa Halova
Gilbert, Thomas
The disappearing pre-FOMC announcement drift()
title The disappearing pre-FOMC announcement drift()
title_full The disappearing pre-FOMC announcement drift()
title_fullStr The disappearing pre-FOMC announcement drift()
title_full_unstemmed The disappearing pre-FOMC announcement drift()
title_short The disappearing pre-FOMC announcement drift()
title_sort disappearing pre-fomc announcement drift()
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7525326/
https://www.ncbi.nlm.nih.gov/pubmed/33013237
http://dx.doi.org/10.1016/j.frl.2020.101781
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