Abstract

https://ssrn.com/abstract=2687614
 


 



Stock Returns Over the FOMC Cycle


Anna Cieslak


Duke University, Fuqua School of Business

Adair Morse


University of California, Berkeley - Haas School of Business; National Bureau of Economic Research (NBER)

Annette Vissing-Jorgensen


National Bureau of Economic Research (NBER); University of California Berkeley, Haas School of Business

June 12, 2016


Abstract:     
We document that since 1994 the equity premium in the US and worldwide is earned entirely in weeks 0, 2, 4 and 6 in FOMC cycle time, i.e. in even weeks starting from the last FOMC meeting. We tie the even-week pattern causally to the Fed. The even-week returns are driven primarily by the Fed reacting to poor stock returns with more accommodation than expected (a “Fed put”). The timing comes from Fed monetary-policy decision-making tending to happen in even weeks. Evidence suggests systematic informal communication of Fed officials with the media and financial sector is the information transmission channel.

Number of Pages in PDF File: 63

Keywords: Monetary Policy, Federal Reserve, FOMC, Communication, Stock Returns

JEL Classification: E52, G12


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Date posted: November 8, 2015 ; Last revised: June 15, 2016

Suggested Citation

Cieslak, Anna and Morse, Adair and Vissing-Jorgensen, Annette, Stock Returns Over the FOMC Cycle (June 12, 2016). Available at SSRN: https://ssrn.com/abstract=2687614 or http://dx.doi.org/10.2139/ssrn.2687614

Contact Information

Anna Cieslak
Duke University, Fuqua School of Business ( email )
100 Fuqua Drive
Durham, NC 27708-0204
United States
919 660 7879 (Phone)
HOME PAGE: http://https://sites.google.com/site/ancieslak/
Adair Morse (Contact Author)
University of California, Berkeley - Haas School of Business ( email )
545 Student Services Building, #1900
2220 Piedmont Avenue
Berkeley, CA 94720
United States

National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Annette Vissing-Jorgensen
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
University of California Berkeley, Haas School of Business ( email )
545 Student Services Building, #1900
2220 Piedmont Avenue
Berkeley, CA 94720
United States

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