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- W3081244186 abstract "This paper proposes and tests the private information explanation for the time series of pre-FOMC announcement drift through risk reduction. Using transaction-level data, I document the informed trading is in the same direction of the realized returns in the 24-hour window before FOMC announcements, coinciding with the pre-FOMC uncertainty reduction. I integrate Kyle's (1985) model into a standard consumption-based asset pricing framework where the market makers are compensated for the risk of assets' fundamentals. Observing aggregate order flow, they update the belief about the marginal utility-weighted asset value, which resolves uncertainty gradually and results in an upward drift in market prices before announcements. I demonstrate that there is a strictly positive pre-FOMC drift if and only if the market makers require risk compensation." @default.
- W3081244186 created "2020-09-01" @default.
- W3081244186 creator A5027550024 @default.
- W3081244186 date "2020-01-01" @default.
- W3081244186 modified "2023-09-23" @default.
- W3081244186 title "The Pre-FOMC Announcement Drift and Private Information: Kyle Meets Macro-Finance" @default.
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- W3081244186 doi "https://doi.org/10.2139/ssrn.3644386" @default.
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