ScienceDirect Publication: Finance Research Letters
Fri, 31 Jan 2020 18:00:57 GMT language
Publication date: Available online 30 January 2020
Source: Finance Research Letters
Author(s): Haifeng Guo, Chi-Hsiou D. Hung, Alexandros Kontonikas
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.