The Disappearing Pre-FOMC Announcement Drift

Lucca and Moench (2015) document large average excess returns in U.S. equities before scheduled Federal Open Market Committee (FOMC) meetings from September 1994 to March 2011, leading to a puzzle not explained by standard asset pricing theory. We extend the sample to December 2019. We find that after first appearing before FOMC announcements accompanied by the Fed Chair press conferences, the pre-FOMC drift essentially disappeared after 2015 in both announcements accompanied by press conferences and announcements not accompanied by press conferences. We discuss a possible explanation for this change: reduced uncertainty.

Keywords: FOMC; Announcements; Drift; Press Conferences

JEL Classification: E44, G14

Suggested Citation: Suggested Citation

Kurov, Alexander and Wolfe, Marketa and Gilbert, Thomas, The Disappearing Pre-FOMC Announcement Drift (September 26, 2020). Finance Research Letters, Vol. 40, 2021, Available at SSRN: https://ssrn.com/abstract=3134546 or http://dx.doi.org/10.2139/ssrn.3134546