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The Pre-FOMC Announcement Drift: More Recent Evidence

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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.

Suggested Citation

  • David O. Lucca & Emanuel Moench, 2018. "The Pre-FOMC Announcement Drift: More Recent Evidence," Liberty Street Economics 20181116a, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednls:87294
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    File URL: https://libertystreeteconomics.newyorkfed.org/2018/11/the-pre-fomc-announcement-drift-more-recent-evidence.html
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    Cited by:

    1. 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.

    More about this item

    Keywords

    G15; G10; G12;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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