因子回报与 FOMC 公告：情绪的作用

IF 4.6 Q2 MATERIALS SCIENCE, BIOMATERIALS ACS Applied Bio Materials Pub Date : 2024-04-15 DOI:10.1016/j.qref.2024.03.014

George Dotsis , Carlo Rosa

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引用次数: 0

摘要

我们研究了 FOMC 公布日多空因素回报的动态以及情绪的作用。我们发现，因子收益在 FOMC 公布日为负值。此外，在这些日子里，情绪低迷时期的回报率明显较低。因此，投资者情绪是 FOMC 日因子回报的主要驱动因素，而这种影响主要来自每个因子的空头投资组合。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Factor returns and FOMC announcements: The role of sentiment

We examine the dynamics of long-short factor returns on FOMC announcement days and the role of sentiment. We find that factor returns are negative on FOMC announcement days. Moreover, on these days returns are significantly lower following low sentiment periods. Hence, investor sentiment is a key driver of factor returns on FOMC days and this effect emanates mainly from the short portfolio leg of each factor.

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来源期刊

ACS Applied Bio Materials Chemistry-Chemistry (all)

CiteScore

9.40

自引率

2.10%

发文量

464