We build a new measure of investors’ attention around FOMC announcements by employing the Google Search Volume Index. Our measure shows that investors’ attention contributes and heightens the FOMC equity premium and reduces the volatility around the announcement. Although, we don’t claim causality we find that active attention gathers around the announce ment the day before, remains constant around the event and drops just afterwards, consistent with the resolution of uncertainty
Monaco, E., Murgia, L.M. (2023). Retail attention and the FOMC equity premium. FINANCE RESEARCH LETTERS, 53, 1-7 [10.1016/j.frl.2022.103597].
Retail attention and the FOMC equity premium
Monaco, Eleonora
;
2023
Abstract
We build a new measure of investors’ attention around FOMC announcements by employing the Google Search Volume Index. Our measure shows that investors’ attention contributes and heightens the FOMC equity premium and reduces the volatility around the announcement. Although, we don’t claim causality we find that active attention gathers around the announce ment the day before, remains constant around the event and drops just afterwards, consistent with the resolution of uncertainty| File | Dimensione | Formato | |
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