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Asset pricing and FOMC press conferences

Author

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  • Bodilsen, Simon
  • Eriksen, Jonas N.
  • Grønborg, Niels S.

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.

Suggested Citation

  • Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
    • Handle: RePEc:eee:jbfina:v:128:y:2021:i:c:s0378426621001229
    DOI: 10.1016/j.jbankfin.2021.106163
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    More about this item

    Keywords

    Asset pricing; fomc press conferences; Monetary policy; Risk premia;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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