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Investor sentiment and the Pre-FOMC announcement drift

Guo, Haifeng and Hung, D. Chi-Hsiou and Kontonikas, Alexandros (2021) 'Investor sentiment and the Pre-FOMC announcement drift.', Finance research letters., 38 . p. 101443.

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.

Item Type:Article
Full text:(AM) Accepted Manuscript
Available under License - Creative Commons Attribution Non-commercial No Derivatives.
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Status:Peer-reviewed
Publisher Web site:https://doi.org/10.1016/j.frl.2020.101443
Publisher statement:© 2020 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
Date accepted:23 January 2020
Date deposited:16 April 2020
Date of first online publication:30 January 2020
Date first made open access:25 March 2021

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