Time Series Momentum around FOMC Meetings
50 Pages Posted: 5 Sep 2017 Last revised: 4 Feb 2021
Date Written: February 4, 2021
We document a novel time-series momentum strategy around monetary policy decisions in the US. Stock returns drift upward preceding expansionary monetary decisions and downward before contractionary decisions. The differential pre-drift amounts to 2.5% and increases to 4.5% in the 15 days post policy decision. The differential drift is a pervasive finding across industries, international markets, other asset classes and is concentrated in times of high uncertainty.
Keywords: Return Drift, Monetary Policy, FOMC, Macro News
JEL Classification: E31, E43, E44, E52, E58, G12
Suggested Citation: Suggested Citation