Asset pricing and FOMC press conferences

Simon Bodilsen, Jonas Nygaard Eriksen and Niels S. Grønborg

Journal of Banking & Finance, 2021, vol. 128, issue C

Abstract: A press conference (pc) organized by the Federal Open Market Committee (fomc) followed half of the scheduled announcements from 2011 to 2018. We document that excess stock returns are strongly and positively related to their betas on announcement days with a pc. In addition, the cross-sectional dispersion in betas declines substantially on pc days when measured using both daily and intraday return data. These effects are absent on announcement days without a pc. Last, we find that stock-bond correlations are positive (negative) on pc (all other) days and that their variations are related to uncertainty and yield curve information. We discuss implications and possible explanations for our findings.

Keywords: Asset pricing; fomc press conferences; Monetary policy; Risk premia (search for similar items in EconPapers)
JEL-codes: E52 E58 G12 G14 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:128:y:2021:i:c:s0378426621001229

DOI: 10.1016/j.jbankfin.2021.106163

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