LUCCA, DAVID O.; MOENCH, EMANUEL - In: Journal of Finance 70 (2015) 1, pp. 329-371
type="main" <title type="main">ABSTRACT</title> <p>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...</p>