The DOI matches its Crossref record; 52 of the 52 references it cites were found in a registry or an index.
The Pre‐FOMC Announcement Drift
Open accessAbstract
We document large average excess returns on U.S. equities in anticipation of monetary policy decisions made at scheduled meetings of the Federal Open Market Committee (FOMC) in the past few decades. These pre‐FOMC returns have increased over time and account for sizable fractions of total annual realized stock returns. While other major international equity indices experienced similar pre‐FOMC returns, we find no such effect in U.S. Treasury securities and money market futures. Other major U.S. macroeconomic news announcements also do not give rise to preannouncement excess equity returns. We discuss challenges in explaining these returns with standard asset pricing theory.
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Cites
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Cited by
Bollerslev, T., Li, S. Z., & Todorov, V. (2016) · Journal of Financial Economics · doi:10.1016/j.jfineco.2016.02.001 · Cited by 180
The Wisdom of Twitter Crowds: Predicting Stock Market Reactions to FOMC Meetings via Twitter Feeds
Azar, P. D., & Lo, A. W. (2016) · The Journal of Portfolio Management · doi:10.3905/jpm.2016.42.5.123 · Cited by 112
Threats to central bank independence: High-frequency identification with twitter
Bianchi, F., Gómez-Cram, R., Kind, T., & Kung, H. (2023) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2023.01.001 · Cited by 89
Metadata
- Authors
- LUCCA, D. O., & MOENCH, E.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2015-01-19
- Volume
- 70
- Issue
- 1
- Pages
- 329-371
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2324302607
- Cited by
- 624
- References
- 52
- FWCI
- 21.76
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
