van Dijk, Dick; Chulia-Soler, Chulia-Soler, H.; … - Erasmus Research Institute of Management (ERIM), … - 2007
We study the impact of FOMC announcements of Federal funds target rate decisions on individual stock prices at the intraday level. We find that the returns, volatilities and correlations of the S&P100 index constituents only respond to the surprise component in the announcement, as measured by...