FOMC news and segmented markets

IF 5.4 1区管理学 Q1 BUSINESS, FINANCE

Journal of Accounting & Economics Pub Date : 2025-04-01 DOI:10.1016/j.jacceco.2025.101767

Benjamin Golez , Peter Kelly , Ben Matthies

引用次数: 0

Abstract

A growing body of evidence suggests that Federal Open Market Committee (FOMC) announcements can affect private sector beliefs about near-term macroeconomic conditions. We measure the impact of central bank policy on index option trader beliefs about near-term economic conditions using the return of short-term dividend strips around each FOMC announcement (we term this short-term dividend strip return, “SDR”). Consistent with the idea that these announcements contain valuable information about macroeconomic conditions, we find that SDR predicts both future firm-level earnings and firm-level earnings announcement returns. Furthermore, using analyst earnings forecasts, we provide evidence of belief underreaction to FOMC announcements. We discuss how investor specialization and segmented markets can generate our empirical results.

查看原文本刊更多论文

联邦公开市场委员会新闻和细分市场

越来越多的证据表明，联邦公开市场委员会（FOMC）的公告可能会影响私营部门对近期宏观经济状况的看法。我们利用每次FOMC公告周围的短期股息带回报（我们将这种短期股息带回报称为“SDR”）来衡量央行政策对指数期权交易者对近期经济状况的影响。与这些公告包含有关宏观经济状况的有价值信息的观点一致，我们发现SDR既可以预测未来公司层面的收益，也可以预测公司层面的收益公告回报。此外，利用分析师的收益预测，我们提供了对联邦公开市场委员会公告反应不足的证据。我们讨论了投资者专业化和细分市场如何产生我们的实证结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Journal of Accounting & Economics Multiple-

CiteScore

8.70

自引率

6.80%

发文量

期刊介绍： The Journal of Accounting and Economics encourages the application of economic theory to the explanation of accounting phenomena. It provides a forum for the publication of the highest quality manuscripts which employ economic analyses of accounting problems. A wide range of methodologies and topics are encouraged and covered: * The role of accounting within the firm; * The information content and role of accounting numbers in capital markets; * The role of accounting in financial contracts and in monitoring agency relationships; * The determination of accounting standards; * Government regulation of corporate disclosure and/or the Accounting profession; * The theory of the accounting firm.