We examine the dynamics of long-short factor returns on FOMC announcement days and the role of sentiment. We find that factor returns are negative on FOMC announcement days. Moreover, on these days returns are significantly lower following low sentiment periods. Hence, investor sentiment is a key driver of factor returns on FOMC days and this effect emanates mainly from the short portfolio leg of each factor.
Factor returns and FOMC announcements: The role of sentiment / Rosa, Carlo; Dotsis, George. - In: THE QUARTERLY REVIEW OF ECONOMICS AND FINANCE: JOURNAL OF THE MIDWEST ECONOMICS ASSOCIATION. - ISSN 1062-9769. - 97:October 2024(2024). [10.1016/j.qref.2024.03.014]
Factor returns and FOMC announcements: The role of sentiment
Carlo Rosa
;
2024-01-01
Abstract
We examine the dynamics of long-short factor returns on FOMC announcement days and the role of sentiment. We find that factor returns are negative on FOMC announcement days. Moreover, on these days returns are significantly lower following low sentiment periods. Hence, investor sentiment is a key driver of factor returns on FOMC days and this effect emanates mainly from the short portfolio leg of each factor.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
