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Investor sentiment and the pre-FOMC announcement drift

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

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Authors

D. Chi-Hsiou Hung

Alexandros Kontonikas



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

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