RT Journal Article SR Electronic T1 The Pre-FOMC Announcement Drift: An Empirical Analysis JF The Journal of Fixed Income FD Institutional Investor Journals SP 60 OP 72 DO 10.3905/jfi.2019.28.4.060 VO 28 IS 4 A1 Arik Ben Dor A1 Carlo Rosa YR 2019 UL https://pm-research.com/content/28/4/60.abstract AB Previous research documented large positive abnormal returns in US equity markets during a 24-hour window immediately preceding Federal Open Market Committee (FOMC) meetings between 1994 and 2011. This anomaly was called the “pre-FOMC announcement drift.” This article examines whether this return pattern persisted beyond the original sample end date and whether it is observed in additional asset classes. The equity return during the pre-FOMC window declined from 0.5% on average per FOMC meeting to roughly 0.1% in the out-of-sample period after 2011 and was no longer significant. Furthermore, the authors find no evidence of a pre-FOMC announcement effect in US nominal and real interest rates (US Treasuries and Treasury Inflation-Protected Securities), currencies ($/euro, $/British pound, $/Japanese yen, and $/Swiss franc), precious metals (gold and silver), and commodities (oil, heating oil, and natural gas). Results indicate that the pre-FOMC announcement drift was limited to equity markets and weakened significantly post-2011, consistent with market participants taking advantage of the anomaly or with a time-varying effect. However, the fact that the effect weakened postsample, but prepublication, rather than postpublication, may suggest this dynamic was sample specific.TOPICS: Security analysis and valuation, performance measurement, statistical methods