Retail attention and the FOMC equity premium

Eleonora Monaco and Lucia Milena Murgia

Finance Research Letters, 2023, vol. 53, issue C

Abstract: We build a new measure of investors’ attention around FOMC announcements by employing the Google Search Volume Index. Our measure shows that investors’ attention contributes and heightens the FOMC equity premium and reduces the volatility around the announcement. Although, we don't claim causality we find that active attention gathers around the announcement the day before, remains constant around the event and drops just afterwards, consistent with the resolution of uncertainty.

Keywords: FOMC announcements; Equity premium; Volatility; Resolution of uncertainty; Investor attention (search for similar items in EconPapers)
JEL-codes: E44 E52 G12 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007735

DOI: 10.1016/j.frl.2022.103597

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