Stock Returns over the FOMC Cycle

Anna Cieslak, Adair Morse, Annette Vissing-Jorgensen

    Research output: Contribution to journalJournal articleResearchpeer-review


    We document that since 1994, the equity premium is earned entirely in weeks 0, 2, 4, and 6 in Federal Open Market Committee (FOMC) cycle time, that is, even weeks starting from the last FOMC meeting. We causally tie this fact to the Fed by studying intermeeting target changes, Fed funds futures, and internal Board of Governors meetings. The Fed has affected the stock market via unexpectedly accommodating policy, leading to large reductions in the equity premium. Evidence suggests systematic informal communication of Fed officials with the media and financial sector as a channel through which news about monetary policy has reached the market.
    Original languageEnglish
    JournalJournal of Finance
    Issue number5
    Pages (from-to)2201-2248
    Number of pages48
    Publication statusPublished - 1 Oct 2019

    Cite this