Time Series Momentum around FOMC Meetings

50 Pages Posted: 5 Sep 2017 Last revised: 4 Feb 2021

See all articles by Andreas Neuhierl

Andreas Neuhierl

Washington University in St. Louis - John M. Olin Business School

Michael Weber

University of Chicago - Finance; National Bureau of Economic Research (NBER)

Multiple version iconThere are 3 versions of this paper

Date Written: February 4, 2021

Abstract

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

Neuhierl, Andreas and Weber, Michael, Time Series Momentum around FOMC Meetings (February 4, 2021). Chicago Booth Research Paper No. 20-05, Fama-Miller Working Paper, University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-39, Available at SSRN: https://ssrn.com/abstract=3030126 or http://dx.doi.org/10.2139/ssrn.3030126

Andreas Neuhierl

Washington University in St. Louis - John M. Olin Business School ( email )

St. Louis, MO
United States

Michael Weber (Contact Author)

University of Chicago - Finance ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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