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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Official URL: https://doi.org/10.1016/j.frl.2020.101443
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 |
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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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