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Investor sentiment and the pre-FOMC announcement drift

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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