Investor sentiment and the pre-FOMC announcement drift

Guo, H., Hung, C.-H. and Kontonikas, A. (2021) Investor sentiment and the pre-FOMC announcement drift. Finance Research Letters, 38, 101443. (doi: 10.1016/j.frl.2020.101443)

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: Articles
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Hung, Dr Daniel

Creator Roles

Hung, C.-H. D.: Conceptualization, Writing – review and editing, Supervision

• Authors: Guo, H., Hung, C.-H., and Kontonikas, A.
• College/School: College of Social Sciences > Adam Smith Business School > Accounting and Finance
• Journal Name: Finance Research Letters
• Publisher: Elsevier
• ISSN: 1544-6123
• ISSN (Online): 1544-6131
• Published Online: 30 January 2020
• Copyright Holders: Copyright © 2020 Elsevier Inc.
• First Published: First published in Finance Research Letters 38:101443
• Publisher Policy: Reproduced in accordance with the publisher copyright policy