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The Pre-FOMC Announcement Drift

The Journal of finance (New York), 2015-02, Vol.70 (1), p.329-371 [Peer Reviewed Journal]

2015 American Finance Association ;2015 the American Finance Association ;Copyright Blackwell Publishers Inc. Feb 2015 ;ISSN: 0022-1082 ;EISSN: 1540-6261 ;DOI: 10.1111/jofi.12196 ;CODEN: JLFIAN

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  • Title:
    The Pre-FOMC Announcement Drift
  • Author: LUCCA, DAVID O. ; MOENCH, EMANUEL
  • Subjects: Abnormal returns ; Asset pricing ; Federal Reserve monetary policy ; Futures market ; Indexes ; Macroeconomics ; Monetary policy ; Money market ; Stock returns ; Studies ; Treasuries ; Treasury
  • Is Part Of: The Journal of finance (New York), 2015-02, Vol.70 (1), p.329-371
  • Description: 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.
  • Publisher: Cambridge: Blackwell Publishing Ltd
  • Language: English
  • Identifier: ISSN: 0022-1082
    EISSN: 1540-6261
    DOI: 10.1111/jofi.12196
    CODEN: JLFIAN
  • Source: Alma/SFX Local Collection
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