Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/wiley/the-pre-fomc-announcement-drift-EG6OyEMpI9
References (44)
-
Bernanke (2005)
What explains the stock market's reaction to Federal Reserve policy?Journal of Finance, 60
-
Fleming Fleming, Remolona Remolona (1999)
Price formation and liquidity in the U.S. Treasury market: The response to public informationJournal of Finance, 54
-
E. Fama, K. French (1993)
Common risk factors in the returns on stocks and bondsJournal of Financial Economics, 33
-
Christopher Tonetti, Tim Cogley, Konrad Menzel, John Roberts, Tom Sargent, Matt Smith, Gianluca Violante
Federal Reserve Board -
Antulio Bomfim (2003)
Pre-announcement effects, news effects, and volatility: Monetary policy and the stock marketJournal of Banking and Finance, 27
-
Beaver (1968)
The information content of annual earnings announcementsJournal of Accounting Research, 6
-
Campbell Campbell, Hentschel Hentschel (1992)
No news is good news: An asymmetric model of changing volatility in stock returnsJournal of Financial Economics, 31
-
Pavel Savor, Mungo Wilson (2011)
How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic AnnouncementsJournal of Financial and Quantitative Analysis, 48
-
C. Jones, Owen Lamont, R. Lumsdaine (1998)
Macroeconomic News and Bond Market VolatilityJournal of Financial Economics, 47
-
Gur Huberman, Tomer Regev (2001)
Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices SoarJournal of Finance, 56
-
S. Ross (1989)
Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution IrrelevancyJournal of Finance, 44
-
Clarida Clarida, Gali Gali, Gertler Gertler (2000)
Monetary policy rules and macroeconomic stability: Evidence and some theoryQuarterly Journal of Economics, 115
-
B. Bernanke, Kenneth Kuttner (2003)
What Explains the Stock Market's Reaction to Federal Reserve Policy?Federal Reserve Bank of New York Research Paper Series
-
Carlos Carvalho, Nicholas Klagge, E. Moench (2011)
The persistent effects of a false news shockJournal of Empirical Finance, 18
-
Oliver Kim, Robert Verrecchia (1991)
Trading Volume And Price Reactions To Public AnnouncementsJournal of Accounting Research, 29
-
J. Campbell, Ludger Hentschel (1991)
No News is Good News: An Asymmetric Model of Changing Volatility in Stock ReturnsEconometrics eJournal
-
Bernanke (2005)
Panel discussion I: What have we learned since October 1979?Federal Reserve Bank of St. Louis Review, 87
-
Thornton Thornton (2006)
When did the FOMC begin targeting the federal funds rate? What the verbatim transcripts tell usJournal of Money, Credit and Banking, 3
-
G. Karolyi, René Stulz (1996)
Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return ComovementsJournal of Finance, 51
-
Marcin Kacperczyk, Stijn Nieuwerburgh, Laura Veldkamp (2009)
Attention Allocation Over the Business Cycle -
Gürkaynak Gürkaynak, Sack Sack, Wright Wright (2007)
The U.S. Treasury yield curve: 1961 to the presentJournal of Monetary Economics, 54
-
Michael Ehrmann, Marcel Fratzscher (2008)
Purdah: On the Rationale for Central Bank Silence Around Policy MeetingsEuropean Central Bank Research Paper Series
-
Paul Tetlock (2010)
All the News That's Fit to Reprint: Do Investors React to Stale Information?The Role of Media in Finance
-
(2006)
Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C. The U.S. Treasury Yield Curve: 1961 to the Present -
Ehrmann Ehrmann, Fratzscher Fratzscher (2009)
Purdah—On the rationale for central bank silence around policy meetingsJournal of Money, Credit and Banking, 41
-
Ľuboš Pástor, P. Veronesi (2011)
Political Uncertainty and Risk PremiaPSN: Public Policy (Topic)
-
D. Duffie (2010)
Presidential Address: Asset Price Dynamics with Slow‐Moving CapitalJournal of Finance, 65
-
C. Sims (2003)
Implications of rational inattentionJournal of Monetary Economics, 50
-
Antulio Bomfim, Vincent Reinhart (2000)
Making News: Financial Market Effects of Federal Reserve Disclosure PracticesCapital Markets eJournal
-
(2003)
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange -
(2008)
Monetary Tightening Cycles and the Predictability of Economic Activity -
Gürkaynak Gürkaynak, Sack Sack, Swanson Swanson (2005)
Do actions speak louder than words? The response of asset prices to monetary policy actions and statementsInternational Journal of Central Banking, 1
-
Tetlock Tetlock (2011)
All the news that's fit to reprint: Do investors react to stale information?Review of Financial Studies, 24
-
H. White (2000)
A Reality Check for Data SnoopingEconometrica, 68
-
Ilan Cooper, R. Priestley (2009)
Time-Varying Risk Premiums and the Output GapReview of Financial Studies, 22
-
Pavel Savor, Mungo Wilson (2013)
Asset Pricing: A Tale of Two DaysEconometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal
-
Y. Amihud (2012)
Market Liquidity: Illiquidity and Stock Returns Cross-Section and Time-Series Effects＊ -
Douglas Diamond, R. Rajan (2011)
Illiquid Banks, Financial Stability, and Interest Rate PolicyJournal of Political Economy, 120
-
Kenneth Kuttner (2000)
Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures MarketMonetary Economics
-
M. Fleming, Eli Remolona (1999)
Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public InformationCapital Markets: Market Microstructure eJournal
-
V. Bernard, Jacob Thomas (1989)
POST-EARNINGS-ANNOUNCEMENT DRIFT - DELAYED PRICE RESPONSE OR RISK PREMIUMJournal of Accounting Research, 27
-
Amihud (2002)
Illiquidity and stock returns: Cross-section and time-series effectsJournal of Financial Markets, 5
-
(2007)
The Earnings Announcement Premium and Trading Volume -
Richard Clarida, J. Gaĺı, Mark Gertler (1998)
Monetary Policy Rules and Macroeconomic Stability: Evidence and Some TheoryMonetary Economics
- Publisher
- Wiley
- Copyright
- © 2015 the American Finance Association
- ISSN
- 0022-1082
- eISSN
- 1540-6261
- DOI
- 10.1111/jofi.12196
- Publisher site
- See Article on Publisher Site
Abstract
ABSTRACT 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.
Journal
The Journal of Finance – Wiley
Published: Feb 1, 2015