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Retail attention and the FOMC equity premium

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  • Monaco, Eleonora
  • Murgia, Lucia Milena

Abstract

We build a new measure of investors’ attention around FOMC announcements by employing the Google Search Volume Index. Our measure shows that investors’ attention contributes and heightens the FOMC equity premium and reduces the volatility around the announcement. Although, we don't claim causality we find that active attention gathers around the announcement the day before, remains constant around the event and drops just afterwards, consistent with the resolution of uncertainty.

Suggested Citation

  • Monaco, Eleonora & Murgia, Lucia Milena, 2023. "Retail attention and the FOMC equity premium," Finance Research Letters, Elsevier, vol. 53(C).
    • Handle: RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007735
    DOI: 10.1016/j.frl.2022.103597
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    References listed on IDEAS

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    Cited by:

    1. Birindelli, Giuliana & Chiappini, Helen & Jalal, Raja Nabeel-Ud-Din, 2023. "SFDR, investor attention, and European financial markets," Finance Research Letters, Elsevier, vol. 56(C).

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    More about this item

    Keywords

    FOMC announcements; Equity premium; Volatility; Resolution of uncertainty; Investor attention;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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