Documented the pre-FOMC announcement drift
David Lucca & Emanuel Moench
David O. Lucca is an economist in the Research and Statistics Group of the Federal Reserve Bank of New York, with a PhD in economics from Northwestern University (2006). Emanuel Moench (Mönch), formerly a research officer at the New York Fed, head of research at the Deutsche Bundesbank and a professor at Goethe University Frankfurt, is Professor of Financial and Monetary Economics at the Frankfurt School of Finance & Management.
What they argue
- More than 80% of the U.S. equity premium since 1994 was earned in the 24 hours before scheduled FOMC announcements.
- The drift does not appear in Treasuries or money-market futures, nor before other major economic releases.
Sources
Summaries are Be The Puck's paraphrase of public material. Be The Puck has no affiliation with the people listed.
Pre-FOMC announcement drift (Lucca & Moench)
Rule and full recordCalendar · daily
Own the stock only on the day of each scheduled Federal Reserve rate announcement, when stocks have tended to rise ahead of the news.
Best risk-adjusted results against buy and hold: