Asset pricing and FOMC press conferences

Simon Bodilsen, Jonas Nygaard Eriksen*, Niels Strange Grønborg

*Corresponding author for this work

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

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Abstract

A press conference (PC) organized by the Federal Open Market Committee (FOMC) followed half of the scheduled announcements from 2011 to 2018. We document that excess stock returns are strongly and positively related to their betas on announcement days with a PC. In addition, the cross-sectional dispersion in betas declines substantially on PC days when measured using both daily and intraday return data. These effects are absent on announcement days without a PC. Last, we find that stock-bond correlations are positive (negative) on PC (all other) days and that their variations are related to uncertainty and yield curve information. We discuss implications and possible explanations for our findings.
Original languageEnglish
Article number106163
JournalJournal of Banking & Finance
Volume128
Number of pages17
ISSN0378-4266
DOIs
Publication statusPublished - Jun 2021

Keywords

  • Asset pricing
  • FOMC press conferences
  • Monetary policy
  • Risk premia

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