FOMC news and segmented markets
研究发现，联邦公开市场委员会公告中的信息会影响投资者对近期经济状况的信念，短期股息收益能预测企业盈利和公告回报，且分析师预测存在反应不足，这可用投资者专业化和市场分割来解释。
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.