Asset Pricing and FOMC Press Conferences
67 Pages Posted: 3 Jan 2019 Last revised: 13 Oct 2019
Date Written: October 10, 2019
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: Suggested Citation