Guo, Haifeng and Hung, Chi-Hsiou D and Kontonikas, Alexandros (2021) 'Investor sentiment and the pre-FOMC announcement drift.' Finance Research Letters, 38. p. 101443. ISSN 1544-6123

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Abstract

We find that the stock market increases significantly over the pre-FOMC announcement window only during periods of high investor sentiment and low economic policy uncertainty. Buy-initiated trades associated with high sentiment are positively related to pre-FOMC returns. These findings are consistent with a behavioural interpretation of the pre-FOMC announcement drift.

Item Type:	Article
Uncontrolled Keywords:	Investor sentiment; Pre-FOMC drift; Order imbalance
Divisions:	Faculty of Social Sciences Faculty of Social Sciences > Essex Business School Faculty of Social Sciences > Essex Business School > Essex Finance Centre
SWORD Depositor:	Elements
Depositing User:	Elements
Date Deposited:	06 Mar 2020 11:05
Last Modified:	06 Jan 2022 14:10
URI:	http://repository.essex.ac.uk/id/eprint/26788

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