Disagreement and Scheduled Announcements: Explaining the Pre-Announcement Drift
用一般均衡模型解释为何在美联储议息会议等预定公告前，股价会持续上涨，同时伴随低波动和低成交量，原因是投资者在公告临近时停止学习，导致风险溢价上升。
Abstract This article proposes a theoretical explanation for the positive pre-announcement drift empirically documented ahead of scheduled announcements, using the Federal Open Market Committee (FOMC) meetings as a main example. The framework entails a general equilibrium model of disagreement (differences of opinion), where investors interpret a costly signal differently. Investors optimally decide to stop learning when an announcement is imminent, increasing the risk premium ahead of an announcement. The model jointly rationalizes puzzling empirical evidence by generating i) an upward drift in prices just before scheduled announcements, regardless of the announcement’s content, which coexists with ii) low volatility and iii) low trading volume.