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

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
Journal	Finance Research Letters
Volume	53
Early online date	16 Dec 2022
DOIs	https://doi.org/10.1016/j.frl.2022.103597
Publication status	Published - May 2023

Access to Document

10.1016/j.frl.2022.103597

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1-s2.0-S1544612322007735-main
Accepted author manuscript, 1.06 MB
Licence: CC BY-NC-ND
Embargo ends: 16/12/24

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'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.",

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

note = "Data Availability: Data will be made available on request.",

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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.

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DO - 10.1016/j.frl.2022.103597

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