2012
DOI: 10.2139/ssrn.1923197
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The Pre-FOMC Announcement Drift

Abstract: Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in… Show more

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Cited by 162 publications
(294 citation statements)
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“…Savor and Wilson (2013) show that 60% of the equity premium is earned around scheduled macroeconomic news announcements, whereas Lucca and Moench (2013) find that 80% of the equity premium since 1994 is earned in the 24 hours before the FOMC press releases. On the contrary, Campbell, Pflueger, and Viceira (2013) study the impact of monetary policy and macroeconomic shocks on nominal bond premia and the interlinkages with equity markets.…”
Section: D3 Monetary Policy Shocks and Portfolio Returnsmentioning
confidence: 98%
“…Savor and Wilson (2013) show that 60% of the equity premium is earned around scheduled macroeconomic news announcements, whereas Lucca and Moench (2013) find that 80% of the equity premium since 1994 is earned in the 24 hours before the FOMC press releases. On the contrary, Campbell, Pflueger, and Viceira (2013) study the impact of monetary policy and macroeconomic shocks on nominal bond premia and the interlinkages with equity markets.…”
Section: D3 Monetary Policy Shocks and Portfolio Returnsmentioning
confidence: 98%
“…Additionally, earlier findings in domestic markets (Nikkinen and Sahlstrom (2004), Chen and Clements (2007), Vahamaa and Aijo (2011) and Krieger et al (2012)) indicate that even scheduled monetary policy meetings move volatility. Furthermore, Lucca and Moench (2011) find that the return of the DAX equity index is 43 basis points higher on FOMC meeting days than on other days. Thus, it appears possible that FOMC meeting days may indeed affect German markets and vice versa.…”
Section: Literature Review and Hypothesesmentioning
confidence: 88%
“…9 We focus on German volatility as the data is available from the first ECB meeting through the present period. 10 See for example, Jiang et al (2012) and Lucca and Moench (2011).…”
Section: Data and Methodsologymentioning
confidence: 99%
“…For example, Bernanke and Kuttner (2005) show that an unexpected 25-basispoint cut in the federal funds rate target induces a one percent rise in broad stock indices. One important paper to highlight is that of Lucca and Moench (2015). They show that a significant fraction of the risk premium is earned on the 24 hours before the FOMC decision is announced, and suggests that a strategy that increases its equity holdings on the days before the FOMC decision should outperform the market.…”
Section: Literature Reviewmentioning
confidence: 99%