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. Download PDF (200Kb) |
| 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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