{"title":"因子回报与 FOMC 公告：情绪的作用","authors":"George Dotsis , Carlo Rosa","doi":"10.1016/j.qref.2024.03.014","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":2,"journal":{"name":"ACS Applied Bio Materials","volume":null,"pages":null},"PeriodicalIF":4.6000,"publicationDate":"2024-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S106297692400053X/pdfft?md5=a2c5013e3a49f7334003bf40d268fc35&pid=1-s2.0-S106297692400053X-main.pdf","citationCount":"0","resultStr":"{\"title\":\"Factor returns and FOMC announcements: The role of sentiment\",\"authors\":\"George Dotsis , Carlo Rosa\",\"doi\":\"10.1016/j.qref.2024.03.014\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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.</p></div>\",\"PeriodicalId\":2,\"journal\":{\"name\":\"ACS Applied Bio Materials\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":4.6000,\"publicationDate\":\"2024-04-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S106297692400053X/pdfft?md5=a2c5013e3a49f7334003bf40d268fc35&pid=1-s2.0-S106297692400053X-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ACS Applied Bio Materials\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S106297692400053X\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"MATERIALS SCIENCE, BIOMATERIALS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ACS Applied Bio Materials","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S106297692400053X","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATERIALS SCIENCE, BIOMATERIALS","Score":null,"Total":0}
Factor returns and FOMC announcements: The role of sentiment
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.
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