Investor sentiment and the pre-FOMC announcement drift

Haifeng Guo, Chi-Hsiou Hung and Alexandros Kontonikas

Finance Research Letters, 2021, vol. 38, issue C

Abstract: We find that the stock market increases significantly over the pre-FOMC announcement window only during periods of high investor sentiment and low economic policy uncertainty. Buy-initiated trades associated with high sentiment are positively related to pre-FOMC returns. These findings are consistent with a behavioural interpretation of the pre-FOMC announcement drift.

Keywords: Investor sentiment; Pre-FOMC drift; Order imbalance (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319311262

DOI: 10.1016/j.frl.2020.101443

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