The Disappearing Pre-FOMC Announcement Drift

15 Pages Posted: 7 Mar 2018 Last revised: 8 Apr 2020

See all articles by Alexander Kurov

Alexander Kurov

West Virginia University - College of Business & Economics

Marketa Wolfe

Skidmore College - Department of Economics

Thomas Gilbert

University of Washington - Department of Finance and Business Economics

Date Written: April 7, 2020

Abstract

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

Kurov, Alexander and Wolfe, Marketa and Gilbert, Thomas, The Disappearing Pre-FOMC Announcement Drift (April 7, 2020). Available at SSRN: https://ssrn.com/abstract=3134546 or http://dx.doi.org/10.2139/ssrn.3134546

Alexander Kurov

West Virginia University - College of Business & Economics ( email )

P.O. Box 6025
Morgantown, WV 26506
United States

Marketa Wolfe (Contact Author)

Skidmore College - Department of Economics ( email )

815 N Broadway
Saratoga Springs, NY 12866
United States
+1-518-580-8374 (Phone)

Thomas Gilbert

University of Washington - Department of Finance and Business Economics ( email )

Box 353200
Seattle, WA 98195
United States
206-616-7184 (Phone)

HOME PAGE: http://faculty.washington.edu/gilbertt/

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