The Pre‐FOMC Announcement Drift
研究发现美国股市在联邦公开市场委员会（FOMC）预定会议前出现平均超额收益，且随时间增长，占年度总收益的显著部分，但美国国债和货币市场期货无此现象，其他宏观新闻公告也未引发类似超额收益。
ABSTRACT We document large average excess returns on U.S. equities in anticipation of monetary policy decisions made at scheduled meetings of the Federal Open Market Committee (FOMC) in the past few decades. These pre‐FOMC returns have increased over time and account for sizable fractions of total annual realized stock returns. While other major international equity indices experienced similar pre‐FOMC returns, we find no such effect in U.S. Treasury securities and money market futures. Other major U.S. macroeconomic news announcements also do not give rise to preannouncement excess equity returns. We discuss challenges in explaining these returns with standard asset pricing theory.