Essays about: "Pre-FOMC announcement drift"

Found 3 essays containing the words Pre-FOMC announcement drift.

1. 1. Changing Patterns over the FOMC Cycle

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Edvin Holst; Theodor Von Der Esch; [2023]
   Keywords : FOMC; Federal Reserve Board of Governors; Pre-FOMC announcement drift; Macro-announcements;

   Abstract : We document that in the period 2017 to 2022, the US stock market did not feature the same pattern of higher excess stock returns in even weeks following Federal Open Market Committee (FOMC) announcements as in the period 1994 to 2016. We show that timing of Board of Governors meetings and direction of Fed funds target rate movements affect US market returns in both periods, and connect changes in these factors to the distortion of the even-week return pattern. READ MORE

3. 2. The Rise and Fall of the Pre-FOMC Announcement Drift

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Carl Kugelberg; Hannes Hjärne; [2019]
   Keywords : Pre-FOMC announcement drift; ; excess return; monetary policy; Sweden;

   Abstract : This thesis builds upon the influential paper "The Pre-FOMC Announcement Drift" by Lucca and Moench that was published in the Journal of Finance in 2015. The authors found that the periods leading up to FOMC announcements were accompanied by large excess returns. READ MORE

4. 3. The Pre-Monetary Policy Announcement Drift on the Stockholm Stock Exchange

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Jakob Fager; Max Leijon; [2017]
   Keywords : Monetary Policy; Macroeconomic Announcement; Pre-Announcement Drift; Abnormal Returns; Efficient Markets;

   Abstract : This thesis investigates the existence and properties of pre-monetary policy announcement drifts on the Stockholm Stock Exchange. While previous literature has mainly focused on U.S. READ MORE