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

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
2023
Monaco, Eleonora; Murgia, Lucia Milena
File in questo prodotto:
File Dimensione Formato  
FRL Postprint IRIS.pdf

embargo fino al 16/12/2024

Tipo: Postprint
Licenza: Licenza per Accesso Aperto. Creative Commons Attribuzione - Non commerciale - Non opere derivate (CCBYNCND)
Dimensione 617.4 kB
Formato Adobe PDF
617.4 kB Adobe PDF   Visualizza/Apri   Contatta l'autore

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/911910
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 0
  • ???jsp.display-item.citation.isi??? 0
social impact