FOMC news and segmented markets

• 成果类型: Article
• 署名作者: Golez, Benjamin; Kelly, Peter; Matthies, Ben
• 署名单位: University of Notre Dame; Claremont Colleges; Claremont McKenna College; Claremont Graduate University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2025.101767
• 发表日期: 2025
• 关键词: aggregate earnings surprises; monetary-policy; INFORMATION; underreaction; analysts

摘要

A growing body of evidence suggests that Federal Open Market Committee (FOMC) announcements can affect private sector beliefs about near-term macroeconomic conditions. We measure the impact of central bank policy on index option trader beliefs about near-term economic conditions using the return of short-term dividend strips around each FOMC announcement (we term this short-term dividend strip return, SDR). Consistent with the idea that these announcements contain valuable information about macroeconomic conditions, we find that SDR predicts both future firm-level earnings and firm-level earnings announcement returns. Furthermore, using analyst earnings forecasts, we provide evidence of belief underreaction to FOMC announcements. We discuss how investor specialization and segmented markets can generate our empirical results.