Retail attention and the FOMC equity premium

Eleonora Monaco; Lucia Milena Murgia

doi:10.1016/j.frl.2022.103597

Retail attention and the FOMC equity premium

Eleonora Monaco^*, Lucia Milena Murgia

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

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 language	English
Article number	103597
Number of pages	7
Journal	Finance Research Letters
Volume	53
DOIs	https://doi.org/10.1016/j.frl.2022.103597
Publication status	Published - May 2023

Keywords

FOMC announcements
Equity premium
Retail investors attention

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10.1016/j.frl.2022.103597

Cite this

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title = "Retail attention and the FOMC equity premium",

abstract = "We build a new measure of investors{\textquoteright} attention around FOMC announcements by employing the Google Search Volume Index. Our measure shows that investors{\textquoteright} attention contributes and heightens the FOMC equity premium and reduces the volatility around the announcement. Although, we don{\textquoteright}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.",

keywords = "FOMC announcements, Equity premium, Retail investors attention",

author = "Eleonora Monaco and Murgia, {Lucia Milena}",

note = "Publisher Copyright: {\textcopyright} 2022 Elsevier Inc.",

year = "2023",

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doi = "10.1016/j.frl.2022.103597",

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AU - Murgia, Lucia Milena

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AB - 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.

KW - FOMC announcements

KW - Equity premium

KW - Retail investors attention

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Retail attention and the FOMC equity premium

Abstract

Keywords

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CEGE: Research Center in Management and Economics

Cite this

Retail attention and the FOMC equity premium

Abstract

Keywords

Access to Document

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CEGE: Research Center in Management and Economics

Cite this