THE JOURNAL OF FINANCE· VOL. LXX, NO. 1·FEBRUARY 2015

联邦公开市场委员会公告前漂移

作者：David O. Lucca (Federal Reserve Bank of New York)

Emanuel Moench (Federal Reserve Bank of New York)

摘要：我们发现，在过去几十年中，预期联邦公开市场委员会（FOMC）将在预定的会议中做出货币政策决定时，美国股市呈现高平均超额收益。这些联邦公开市场委员会公告前收益随着时间增大，并且解释了总体年度可实现股票收益的一大部分。虽然其他主要国际股票指数存在类似的联邦公开市场委员会公告前收益，但我们发现美国国库券和货币市场期货不存在此现象。其它美国主要宏观新闻的发布也不会导致公告前股票超额收益。我们讨论了用标准资产定价理论解释这些收益的困难。

关键词：联邦公开市场委员会公告，股票溢价，异象

The Pre-FOMC Announcement Drift

David O. Lucca (Federal Reserve Bank of New York)

Emanuel Moench (Federal Reserve Bank of New York)

ABSTRACT

We document large average excess returns on U.S. equities in anticipation of monetary policy decisions made at scheduled meetings of the Federal Open Market Committee(FOMC) in the past few decades. These pre-FOMC returns have increased over time and account for sizable fractions of total annual realized stock returns. While other major international equity indices experienced similar pre-FOMC returns, we find no such effect in U.S. Treasury securities and money market futures. Other major U.S. macroeconomic news announcements also do not give rise to preannouncement excess equity returns. We discuss challenges in explaining these returns with standard asset pricing theory.

Keywords: FOMC Announcements, Equity Premium , Anomaly

原文链接：https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr512.pdf

翻译：任兆月