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Updated: Dec 6, 2025

Sample Drift Correction Following 4D Confocal Time-lapse Imaging
Published on: April 12, 2014
The disappearing pre-FOMC announcement drift
Alexander Kurov1, Marketa Halova Wolfe2, Thomas Gilbert3
1Department of Finance, John Chambers College of Business and Economics, West Virginia University, P.O. Box 6025, Morgantown, WV 26506 United States.
Abstract:
Lucca and Moench (2015) document large average excess returns in U.S. equities before scheduled Federal Open Market Committee (FOMC) meetings from September 1994 to March 2011, leading to a puzzle not explained by standard asset pricing theory. We extend the sample to December 2019. We find that after first appearing before FOMC announcements accompanied by the Fed Chair press conferences, the pre-FOMC drift essentially disappeared after 2015 in both announcements accompanied by press conferences and announcements not accompanied by press conferences. We discuss a possible explanation for this change: reduced uncertainty.
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