Retail attention and the FOMC equity premium

Eleonora Monaco*, Lucia Milena Murgia

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

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.
Original languageEnglish
JournalFinance Research Letters
DOIs
Publication statusAccepted/In press - 16 Dec 2022

Keywords

  • FOMC announcements
  • Equity premium
  • Retail investors attention

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