Flight to Lottery Ahead of FOMC Announcements: Institutional Investors or Retail Investors?
研究发现，在美联储FOMC公告前，投资者更倾向于投机彩票型股票，且机构投资者（尤其是交易型和准指数型）的需求比散户更显著。
Abstract This paper studies the pre‐Federal Open Market Committee (FOMC) announcement drift at the stock level. We hypothesize that investors have a higher propensity to speculate before the monetary policy announcements by the FOMC, due to the resolution of uncertainty and associated reduction in investors' fear. Indeed, we find evidence that there exists a drift of lottery‐like stocks in the pre‐FOMC window, when investors' fear gauge is lower, together with higher demand for lottery‐like stocks and higher realized skewness. Moreover, we show that the demand for lottery‐like stocks ahead of FOMC announcements is more prominent among institutional investors than retail investors. Our findings also identify the key role of transient and quasi‐index institutional investors in our documented flight‐to‐lottery effect. Our findings advance the ongoing debates about the role of firms' investor heterogeneity in determining how monetary policy affects corporate managers' decisions. Our paper has important implications for central banks and managers by showing that investors' preference for lottery‐like stocks increases before FOMC announcements.