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Stock returns over the FOMC cycle

Citations

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Cited by:

  1. Yuriy Gorodnichenko & Tho Pham & Oleksandr Talavera, 2023. "The Voice of Monetary Policy," American Economic Review, American Economic Association, vol. 113(2), pages 548-584, February.
  2. van Binsbergen, Jules H. & Diamond, William F. & Grotteria, Marco, 2022. "Risk-free interest rates," Journal of Financial Economics, Elsevier, vol. 143(1), pages 1-29.
  3. Andreas Neuhierl & Michael Weber & Michael Weber, 2017. "Monetary Momentum," CESifo Working Paper Series 6648, CESifo.
  4. Vissing-Jørgensen, Annette, 2020. "Informal Central Bank Communication," CEPR Discussion Papers 15603, C.E.P.R. Discussion Papers.
  5. Ai, Hengjie & Han, Leyla Jianyu & Pan, Xuhui Nick & Xu, Lai, 2022. "The cross section of the monetary policy announcement premium," Journal of Financial Economics, Elsevier, vol. 143(1), pages 247-276.
  6. Christophe Blot & Paul Hubert & Jérôme Creel & Caroline Bozou, 2023. "The conditionality of monetary policy instruments," EconomiX Working Papers 2023-15, University of Paris Nanterre, EconomiX.
  7. Donato Masciandaro & Oana Peia & Davide Romelli, 2022. "Central Bank Communication and Social Media: From Silence to Twitter," BAFFI CAREFIN Working Papers 22187, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  8. Hirshleifer, David & Sheng, Jinfei, 2022. "Macro news and micro news: Complements or substitutes?," Journal of Financial Economics, Elsevier, vol. 145(3), pages 1006-1024.
  9. Donato Masciandaro & Oana Peia & Davide Romelli, 2024. "Central bank communication and social media: From silence to Twitter," Journal of Economic Surveys, Wiley Blackwell, vol. 38(2), pages 365-388, April.
  10. Ko Adachi & Kazuhiro Hiraki & Tomiyuki Kitamura, 2021. "Supplementary Paper Series for the "Assessment" (1): The Effects of the Bank of Japan's ETF Purchases on Risk Premia in the Stock Markets," Bank of Japan Working Paper Series 21-E-3, Bank of Japan.
  11. Akbari, Amir & Krystyniak, Karolina, 2021. "Government real estate interventions and the stock market," International Review of Financial Analysis, Elsevier, vol. 75(C).
  12. Hu, Grace Xing & Pan, Jun & Wang, Jiang & Zhu, Haoxiang, 2022. "Premium for heightened uncertainty: Explaining pre-announcement market returns," Journal of Financial Economics, Elsevier, vol. 145(3), pages 909-936.
  13. Pflueger, Carolin & Rinaldi, Gianluca, 2022. "Why does the Fed move markets so much? A model of monetary policy and time-varying risk aversion," Journal of Financial Economics, Elsevier, vol. 146(1), pages 71-89.
  14. Ortmans, Aymeric & Tripier, Fabien, 2021. "COVID-induced sovereign risk in the euro area: When did the ECB stop the spread?," European Economic Review, Elsevier, vol. 137(C).
  15. Seok, Sangik & Cho, Hoon & Ryu, Doojin, 2022. "Scheduled macroeconomic news announcements and intraday market sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  16. Maximilian Renz & Olaf Stotz, 2021. "A macroeconomic hedge portfolio and the cross section of stock returns," Review of Financial Economics, John Wiley & Sons, vol. 39(1), pages 73-94, January.
  17. Ehrmann, Michael & Gnan, Phillipp & Rieder, Kilian, 2023. "Central Bank Communication by ??? The Economics of Public Policy Leaks," CEPR Discussion Papers 18152, C.E.P.R. Discussion Papers.
  18. Guzmán, Alexander & Mehrotra, Vikas & Morck, Randall & Trujillo, María-Andrea, 2020. "How institutional development news moves an emerging market," Journal of Business Research, Elsevier, vol. 112(C), pages 300-319.
  19. Silvia Miranda-Agrippino, 2015. "Unsurprising Shocks: Information, Premia, and the Monetary Transmission," Discussion Papers 1613, Centre for Macroeconomics (CFM), revised Apr 2016.
  20. Manuela M. Dantas & Kenneth J. Merkley & Felipe B. G. Silva, 2023. "Government Guarantees and Banks' Income Smoothing," Papers 2303.03661, arXiv.org.
  21. repec:hal:spmain:info:hdl:2441/74362fq3f99s299n07e84dlcib is not listed on IDEAS
  22. Anna Cieslak & Annette Vissing-Jorgensen, 2021. "The Economics of the Fed Put," The Review of Financial Studies, Society for Financial Studies, vol. 34(9), pages 4045-4089.
  23. Adcock, Christopher & Bessler, Wolfgang & Conlon, Thomas, 2022. "Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 24-50.
  24. Deniz Erdemlioglu & Christopher J. Neely & Xiye Yang, 2023. "Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications," Working Papers 2023-016, Federal Reserve Bank of St. Louis.
  25. Gómez-Cram, Roberto & Grotteria, Marco, 2022. "Real-time price discovery via verbal communication: Method and application to Fedspeak," Journal of Financial Economics, Elsevier, vol. 143(3), pages 993-1025.
  26. Tim Bollerslev & Jia Li & Yuan Xue, 2018. "Volume, Volatility, and Public News Announcements," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(4), pages 2005-2041.
  27. Park, Yang-Ho, 2022. "Informed trading in foreign exchange futures: Payroll news timing," Journal of Banking & Finance, Elsevier, vol. 135(C).
  28. Rui Guo & Dun Jia & Xi Sun, 2023. "Information Acquisition, Uncertainty Reduction, and Pre-Announcement Premium in China," Review of Finance, European Finance Association, vol. 27(3), pages 1077-1118.
  29. Monaco, Eleonora & Murgia, Lucia Milena, 2023. "Retail attention and the FOMC equity premium," Finance Research Letters, Elsevier, vol. 53(C).
  30. Andersen, Torben G. & Riva, Raul & Thyrsgaard, Martin & Todorov, Viktor, 2023. "Intraday cross-sectional distributions of systematic risk," Journal of Econometrics, Elsevier, vol. 235(2), pages 1394-1418.
  31. Lakdawala, Aeimit & Schaffer, Matthew, 2019. "Federal reserve private information and the stock market," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 34-49.
  32. Kurov, Alexander & Olson, Eric & Zaynutdinova, Gulnara R., 2022. "When does the fed care about stock prices?," Journal of Banking & Finance, Elsevier, vol. 142(C).
  33. Agam Shah & Suvan Paturi & Sudheer Chava, 2023. "Trillion Dollar Words: A New Financial Dataset, Task & Market Analysis," Papers 2305.07972, arXiv.org.
  34. Aeimit Lakdawala, 2019. "Decomposing the effects of monetary policy using an external instruments SVAR," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(6), pages 934-950, September.
  35. Jang, Hyeonung & Seo, Byoung Ki, 2022. "Transmission of central bank communication to emerging economies: Evidence from the Korean stock market," Emerging Markets Review, Elsevier, vol. 52(C).
  36. Andreas Neuhierl & Michael Weber & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," CESifo Working Paper Series 6199, CESifo.
  37. Difang Huang & Yubin Li & Xinjie Wang & Zhaodong (Ken) Zhong, 2022. "Does the Federal Open Market Committee cycle affect credit risk?," Financial Management, Financial Management Association International, vol. 51(1), pages 143-167, March.
  38. Julian Di Giovanni & Galina Hale, 2022. "Stock Market Spillovers via the Global Production Network: Transmission of U.S. Monetary Policy," Journal of Finance, American Finance Association, vol. 77(6), pages 3373-3421, December.
  39. Tim Bollerslev & Jia Li & Zhipeng Liao, 2021. "Fixed‐k inference for volatility," Quantitative Economics, Econometric Society, vol. 12(4), pages 1053-1084, November.
  40. Yuriy Gorodnichenko & Tho Pham & Oleksandr Talavera, 2021. "Central Bank Communication on Social Media: What, To Whom, and How?," Discussion Papers 21-05, Department of Economics, University of Birmingham.
  41. Dossani, Asad, 2021. "Central bank tone and currency risk premia," Journal of International Money and Finance, Elsevier, vol. 117(C).
  42. Benchimol, Jonathan & Saadon, Yossi & Segev, Nimrod, 2023. "Stock market reactions to monetary policy surprises under uncertainty," International Review of Financial Analysis, Elsevier, vol. 89(C).
  43. Chan, Kam Fong & Gray, Philip & Gray, Stephen & Zhong, Angel, 2020. "Political uncertainty, market anomalies and Presidential honeymoons," Journal of Banking & Finance, Elsevier, vol. 113(C).
  44. Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022. "Monetary policy expectation errors," Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
  45. Michael Ehrmann & Paul Hubert, 2022. "Information Acquisition ahead of Monetary Policy Announcements," Working papers 897, Banque de France.
  46. Kotaro Miwa, 2019. "Short-Term Return Reversals and Intraday Transactions," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1-25, March.
  47. Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
  48. Benjamin Knox & Annette Vissing-Jorgensen, 2022. "A Stock Return Decomposition Using Observables," Finance and Economics Discussion Series 2022-014, Board of Governors of the Federal Reserve System (U.S.).
  49. Peress, Joël & Dong, Xi & KANG, NAMHO, 2020. "Fast and Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain," CEPR Discussion Papers 15235, C.E.P.R. Discussion Papers.
  50. Caporin, Massimiliano & Pelizzon, Loriana & Plazzi, Alberto, 2020. "Does monetary policy impact international market co-movements?," SAFE Working Paper Series 276, Leibniz Institute for Financial Research SAFE.
  51. Christophe Blot & Paul Hubert & Fabien Labondance, 2020. "The asymmetric effects of monetary policy on stock price bubbles," SciencePo Working papers Main hal-03403075, HAL.
  52. Toru Kitagawa & Weining Wang & Mengshan Xu, 2022. "Policy Choice in Time Series by Empirical Welfare Maximization," Papers 2205.03970, arXiv.org, revised Jun 2023.
  53. Tsafack, Georges & Becker, Ying & Han, Ki, 2023. "Earnings announcement premium and return volatility: Is it consistent with risk-return trade-off?," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  54. Billio, Monica & Lo, Andrew W. & Pelizzon, Loriana & Getmansky, Mila & Zareei, Abalfazl, 2021. "Global realignment in financial market dynamics: Evidence from ETF networks," SAFE Working Paper Series 304, Leibniz Institute for Financial Research SAFE.
  55. Andreas Neuhierl & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," NBER Working Papers 22831, National Bureau of Economic Research, Inc.
  56. Kevin C. Smith & Eric C. So, 2022. "Measuring Risk Information," Journal of Accounting Research, Wiley Blackwell, vol. 60(2), pages 375-426, May.
  57. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
  58. Christophe Blot & Caroline Bozou & Jérôme Creel & Paul Hubert, 2022. "The Conditional Path of Central Bank Asset Purchases," Working papers 885, Banque de France.
  59. Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016. "Monetary Policy and Asset Valuation," NBER Working Papers 22572, National Bureau of Economic Research, Inc.
  60. Nihar Shah, 2022. "Doubly heterogeneous monetary spillovers," International Finance, Wiley Blackwell, vol. 25(2), pages 126-150, August.
  61. Birz, Gene, 2017. "Stale economic news, media and the stock market," Journal of Economic Psychology, Elsevier, vol. 61(C), pages 87-102.
  62. Abdi, Farshid & Kormanyos, Emily & Pelizzon, Loriana & Getmansky, Mila & Simon, Zorka, 2021. "Market impact of government communication: The case of presidential tweets," SAFE Working Paper Series 314, Leibniz Institute for Financial Research SAFE, revised 2021.
  63. Giampaolo Bonomi & Ali Uppal, 2023. "Kites and Quails: Monetary Policy and Communication with Strategic Financial Markets," Papers 2305.08958, arXiv.org.
  64. Agam Shah & Sudheer Chava, 2023. "Zero is Not Hero Yet: Benchmarking Zero-Shot Performance of LLMs for Financial Tasks," Papers 2305.16633, arXiv.org.
  65. Adlai Fisher & Charles Martineau & Jinfei Sheng, 2022. "Macroeconomic Attention and Announcement Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5057-5093.
  66. Liao Xu & Xiangkang Yin & Jing Zhao, 2022. "Are the flows of exchange‐traded funds informative?," Financial Management, Financial Management Association International, vol. 51(4), pages 1165-1200, December.
  67. Chan, Kam Fong & Marsh, Terry, 2021. "Asset prices, midterm elections, and political uncertainty," Journal of Financial Economics, Elsevier, vol. 141(1), pages 276-296.
  68. Cieslak, Anna & Pang, Hao, 2021. "Common shocks in stocks and bonds," Journal of Financial Economics, Elsevier, vol. 142(2), pages 880-904.
  69. McLemore, Ping & Mihov, Atanas & Sanz, Leandro, 2022. "Global banks and systemic risk: The dark side of country financial connectedness," Journal of International Money and Finance, Elsevier, vol. 129(C).
  70. Kurov, Alexander & Wolfe, Marketa Halova & Gilbert, Thomas, 2021. "The disappearing pre-FOMC announcement drift," Finance Research Letters, Elsevier, vol. 40(C).
  71. Shaikh, Imlak & Vallabh, Priyanka, 2022. "Monetary policy uncertainty and gold price in India: Evidence from Reserve Bank of India's Monetary Policy Committee (MPC) review," Resources Policy, Elsevier, vol. 76(C).
  72. Kerssenfischer, Mark & Schmeling, Maik, 2022. "What moves markets?," Discussion Papers 16/2022, Deutsche Bundesbank.
  73. Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2022. "Monetary Policy and Asset Valuation," Journal of Finance, American Finance Association, vol. 77(2), pages 967-1017, April.
  74. Ewelina Osowska & Piotr Wójcik, 2020. "The impact of the content of Federal Open Market Committee post-meeting statements on financial markets – text mining approach," Working Papers 2020-33, Faculty of Economic Sciences, University of Warsaw.
  75. Tyler K. Jensen & Robert R. Johnson & Michael J. McNamara, 2019. "Funding conditions and insurance stock returns: Do insurance stocks really benefit from rising interest rate regimes?," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 22(4), pages 367-391, December.
  76. Gai, Prasanna & Lou, Edmund & Wu, Sherry X., 2020. "Targeted disclosure and monetary policy flexibility: A simple model," Economics Letters, Elsevier, vol. 194(C).
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