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

聯邦公開市場委員會公告前漂移

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

Emanuel Moench (Federal Reserve Bank of New York)

摘要：我們發現，在過去幾十年中，預期聯邦公開市場委員會（FOMC）将在預定的會議中做出貨币政策決定時，美國股市呈現高平均超額收益。這些聯邦公開市場委員會公告前收益随着時間增大，并且解釋了總體年度可實現股票收益的一大部分。雖然其他主要國際股票指數存在類似的聯邦公開市場委員會公告前收益，但我們發現美國國庫券和貨币市場期貨不存在此現象。其它美國主要宏觀新聞的發布也不會導緻公告前股票超額收益。我們讨論了用标準資産定價理論解釋這些收益的困難。

關鍵詞：聯邦公開市場委員會公告，股票溢價，異象

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

原文鍊接：https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr512.pdf

翻譯：任兆月