The Pre-FOMC Announcement Drift

David Lucca and Emanuel Moench

Journal of Finance, 2015, vol. 70, issue 1, 329-371

Abstract: type="main">

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.

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (224)

Downloads: (external link)
http://hdl.handle.net/10.1111/jofi.12196 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: The pre-FOMC announcement drift (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:70:y:2015:i:1:p:329-371

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().