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Events

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15Apr
Finance, Seminar Calendar

“Pre-Announcement Risk” by Dr. Toomas Laarits

15 Apr 2020 | 11:00 a.m. - 12:30 p.m.
online seminar
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Speaker:

Dr. Toomas Laarits
Assistant Professor of Finance
NYU Stern

 

Abstract:

I propose and test a new explanation for the pre-FOMC announcement drift puzzle. I show that such a drift arises in a model where investors interpret a given FOMC action differently based on recent news. If recent news has been good, FOMC announcements are seen as signals about economic conditions; if recent news has been poor, they are seen as signals about the Fed’s own policy stance. Consistent with the model, I demonstrate that the market return prior to the announcement − a proxy for recent news − predicts the interpretation of Fed action. In the model the pre-FOMC drift represents a risk premium associated with the resolution of uncertainty about announcement type. The model does not require informational leaks or biased beliefs and can account for the seasonality of aggregate returns over the FOMC calendar.

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8Jan
Accounting and Law | Seminar
“Multidimensional Information and Rational Inattention” by Ms. Keri P. Hu
Friday, 8 January 2021 | 10:40 a.m. — 12:10 p.m.
online seminar
Ms. Peicong (Keri) Hu
About Speaker
Dr. Toomas Laarits

Assistant Professor of Finance NYU Stern

“Pre-Announcement Risk” by Dr. Toomas Laarits
15 Apr 202011:00 a.m. - 12:30 p.m.
online seminar
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