Asset Pricing and FOMC Press Conferences

67 Pages Posted: 3 Jan 2019 Last revised: 13 Oct 2019

See all articles by Jonas N. Eriksen

Jonas N. Eriksen

Aarhus University and CREATES

Niels Groenborg

School of Economics and Business Economics, Aarhus University; CREATES; Danish Finance Institute

Date Written: October 10, 2019

Abstract

A press conference (PC) organized by the Federal Open Market Committee (FOMC) followed half of the scheduled announcements from 2011 to 2018. We show that risky and safe assets behave very differently on days with and without PCs. Risky (safe) assets earn higher returns on PC (non-PC) days that are strongly and positively related to their market betas. Moreover, stock-bond correlations are positive (negative) on PC (non-PC) days and market betas on equities compress towards one on PC days, but remains unchanged on non-PC days. We discuss implications, interpretations, and possible explanations for our empirical findings.

Keywords: Asset Pricing, FOMC Press Conferences, Monetary Policy, Risk Premia

JEL Classification: G12, G14, E52, E58

Suggested Citation

Eriksen, Jonas Nygaard and Groenborg, Niels, Asset Pricing and FOMC Press Conferences (October 10, 2019). Available at SSRN: https://ssrn.com/abstract=3299330 or http://dx.doi.org/10.2139/ssrn.3299330

Jonas Nygaard Eriksen (Contact Author)

Aarhus University and CREATES ( email )

Fuglesangs Alle 4
Aarhus V, 8210
Denmark

Niels Groenborg

School of Economics and Business Economics, Aarhus University ( email )

Fuglesangs Allé 4
DK-8210 Aarhus V, 8210
Denmark

CREATES ( email )

School of Economics and Management
Fuglesangs Allé 4
DK-8210 Aarhus V
Denmark

Danish Finance Institute ( email )

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