The Pre-FOMC Announcement Drift: More Recent Evidence

David Lucca and Emanuel Moench

No 20181116a, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: We had previously documented large excess returns on equities ahead of scheduled announcements of the Federal Open Market Committee (FOMC)?the Federal Reserve?s monetary policy-making body?between 1994 and 2011. This post updates our original analysis with more recent data. We find evidence of continued large excess returns during FOMC meetings, but only for those featuring a press conference by the Chair of the FOMC.

Keywords: G15; G10; G12 (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2018-11-16
New Economics Papers: this item is included in nep-mon
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