Investor sentiment and the pre-FOMC announcement drift

Guo, H., Hung, C.-H. and Kontonikas, A. (2020) Investor sentiment and the pre-FOMC announcement drift. Finance Research Letters, (In Press)

[img] Text
209237.pdf - Accepted Version
Restricted to Repository staff only until 30 January 2021.

203kB

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:In Press
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 Published by Elsevier Inc.
First Published:First published in Finance Research Letters 2020
Publisher Policy:Reproduced in accordance with the publisher copyright policy

University Staff: Request a correction | Enlighten Editors: Update this record