Investor sentiment and the pre-FOMC announcement drift

Guo, Haifeng; Hung, D. Chi-Hsiou; Kontonikas, Alexandros

Abstract

We find that the stock market increases significantly over the pre-FOMC announcement window only during periods of high investor sentiment and low economic policy uncertainty. Buy-initiated trades associated with high sentiment are positively related to pre-FOMC returns. These findings are consistent with a behavioural interpretation of the pre-FOMC announcement drift.

Citation

Guo, H., Hung, D. C., & Kontonikas, A. (2021). Investor sentiment and the pre-FOMC announcement drift. Finance Research Letters, 38, Article 101443. https://doi.org/10.1016/j.frl.2020.101443

• Journal Article Type: Article
• Acceptance Date: Jan 23, 2020
• Online Publication Date: Jan 30, 2020
• Publication Date: Jan 14, 2021
• Deposit Date: Apr 16, 2020
• Publicly Available Date: Apr 16, 2020
• Journal: Finance Research Letters
• Print ISSN: 1544-6123
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 38
• Article Number: 101443
• DOI: https://doi.org/10.1016/j.frl.2020.101443
• Public URL: https://durham-repository.worktribe.com/output/1272899