Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 11, 2021 erstellt
Beschreibung:
The stock market volume decreases in anticipation of FOMC announcements and increases afterward. I find, in the cross-section, that stocks with higher market risk exposure experience greater volume changes. I also find that volume dynamics around FOMC announcements are unlikely to be attributable to changes in volatility. Instead, they are linked to discretionary liquidity trading resulting from the presence of private information. I set up a model that guides my investigation of the information environment in the stock market around FOMC announcements. Consistent with the model’s implication, volume dynamics are accompanied by changes in the information environment. I find that information asymmetry increases ahead of FOMC announcements, but only for high-beta stocks