Discussion Paper
The Pre-FOMC Announcement Drift: More Recent Evidence
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.
JEL Classification: G1;
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Bibliographic Information
Provider: Federal Reserve Bank of New York
Part of Series: Liberty Street Economics
Publication Date: 2018-11-16
Number: 20181116a