Stock Returns over the FOMC Cycle

• 成果类型: Article
• 署名作者: Cieslak, Anna; Morse, Adair; Vissing-Jorgensen, Annette
• 署名单位: Duke University; Center for Economic & Policy Research (CEPR); University of California System; University of California Berkeley; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12818
• 发表日期: 2019
• 页码: 2201-2248
• 关键词: monetary-policy; interest-rates

摘要

We document that since 1994, the equity premium is earned entirely in weeks 0, 2, 4, and 6 in Federal Open Market Committee (FOMC) cycle time, that is, even weeks starting from the last FOMC meeting. We causally tie this fact to the Fed by studying intermeeting target changes, Fed funds futures, and internal Board of Governors meetings. The Fed has affected the stock market via unexpectedly accommodating policy, leading to large reductions in the equity premium. Evidence suggests systematic informal communication of Fed officials with the media and financial sector as a channel through which news about monetary policy has reached the market.