NY Fed paper observes pre-FOMC meeting equity drift

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A New York Federal Reserve paper published on Saturday says the drift in US equity prices witnessed before a Federal Reserve interest rate decision remains somewhat of a puzzle.

David Lucca and Emanuel Moench, the paper's authors, show that since the Federal Open Market Committee (FOMC) began announcing its policy decisions in 1994, US stock returns have on average been more than 30 times larger on announcement days than on other days. The authors note that while the pre-FOMC announcement drift

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