Retail Attention and the FOMC Equity Premium

Monaco, Eleonora and Milena Murgia, Lucia (2022) Retail Attention and the FOMC Equity Premium. Finance Research Letters. ISSN 1544-6123

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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 announcement the day before, remains constant around the event and drops just afterwards, consistent with the resolution of uncertainty.

Item Type: Article
Faculty \ School: Faculty of Social Sciences > Norwich Business School
Depositing User: LivePure Connector
Date Deposited: 20 Dec 2022 18:35
Last Modified: 20 Dec 2022 18:35
URI: https://ueaeprints.uea.ac.uk/id/eprint/90347
DOI: 10.1016/j.frl.2022.103597

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