We examine the impact of the surge in trading activity following FOMC announcements on price discovery in the equity market, in particular in the highly liquid S&P 500 E-mini futures. In contrast to the hypothesis that all trading reflects learning about these public news announcements, we find...

In an effort to increase transparency, the Chair of the Federal Reserve now holds a press conference following some, but not all, FOMC announcements. Evidence from financial markets shows that investors lower their expectations of important decisions on days without press conferences and that...

FOMC announcements cause substantial trade volume in equity markets. Is such volume mirroring information flow? Using a new diagnostic to quantify information flow net of noise, we show equity prices following FOMC announcements are less informative about future indicative prices than those...