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Post-FOMC Drift in the Equity Options Market

https://doi.org/10.2139/ssrn.5464630
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Price discovery in stock and options markets
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Informed options strategies before corporate events
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Option trading: Information or differences of opinion?
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The informational role of options markets: Evidence from FOMC announcements
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Differences in options investors’ expectations and the cross-section of stock returns
inferredcites →https://doi.org/10.1016/j.jempfin.2016.07.013openalex-snapshot
When no news is good news – The decrease in investor fear after the FOMC announcement
inferredcites →https://doi.org/10.1016/j.jfineco.2004.06.007openalex-snapshot
Asset pricing with liquidity risk
inferredcites →https://doi.org/10.1016/j.jfineco.2009.01.001openalex-snapshot
Cross-section of option returns and volatility☆
inferredcites →https://doi.org/10.1016/j.jfineco.2012.11.010openalex-snapshot
Cross section of option returns and idiosyncratic stock volatility
inferredcites →https://doi.org/10.1016/j.jfineco.2014.04.005openalex-snapshot
Asset pricing: A tale of two days
inferredcites →https://doi.org/10.1016/j.jfineco.2015.08.019openalex-snapshot
Why does the option to stock volume ratio predict stock returns?
inferredcites →https://doi.org/10.1016/j.jfineco.2021.02.006openalex-snapshot
Are Disagreements Agreeable? Evidence from Information Aggregation
inferredcites →https://doi.org/10.1016/j.jfineco.2021.07.002openalex-snapshot
The cross section of the monetary policy announcement premium
inferredcites →https://doi.org/10.1016/j.jfineco.2021.08.002openalex-snapshot
News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies
inferredcites →https://doi.org/10.1016/j.jfineco.2021.09.015openalex-snapshot
Premium for heightened uncertainty: Explaining pre-announcement market returns
inferredcites →https://doi.org/10.1016/j.jmoneco.2020.09.003openalex-snapshot
Measuring the effects of federal reserve forward guidance and asset purchases on financial markets
inferredcites →https://doi.org/10.1016/j.jmoneco.2023.06.005openalex-snapshot
The macroeconomic announcement premium and information environment
inferredcites →https://doi.org/10.1016/s0304-3932(01)00055-1openalex-snapshot
Monetary policy surprises and interest rates: Evidence from the Fed funds futures market
inferredcites →https://doi.org/10.1016/s1386-4181(01)00024-6openalex-snapshot
Illiquidity and stock returns: cross-section and time-series effects
inferredcites →https://doi.org/10.1017/s002210901300015xopenalex-snapshot
How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
inferredcites →https://doi.org/10.1017/s002210901700076xopenalex-snapshot
Equity Volatility Term Structures and the Cross Section of Option Returns
inferredcites →https://doi.org/10.1017/s0022109018001266openalex-snapshot
Two Trees with Heterogeneous Beliefs: Spillover Effect of Disagreement
inferredcites →https://doi.org/10.1017/s0022109018001357openalex-snapshot
Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences
inferredcites →https://doi.org/10.1080/00036846.2024.2322573openalex-snapshot
The pre-FOMC announcement drift: short-lived or long-lasting? Evidence from financial and volatility markets
inferredcites →https://doi.org/10.1086/374184openalex-snapshot
Liquidity Risk and Expected Stock Returns
inferredcites →https://doi.org/10.1093/jjfinec/nbad017openalex-snapshot
Disagreement in Market Index Options
inferredcites →https://doi.org/10.1093/restud/rdy003openalex-snapshot
Volume, Volatility, and Public News Announcements
inferredcites →https://doi.org/10.1093/rfs/5.3.473openalex-snapshot
Differences of Opinion Make a Horse Race
inferredcites →https://doi.org/10.1093/rfs/hhaa080openalex-snapshot
Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects
inferredcites →https://doi.org/10.1093/rfs/hhab067openalex-snapshot
Option Return Predictability
inferredcites →https://doi.org/10.1093/rfs/hhab080openalex-snapshot
A Model of Two Days: Discrete News and Asset Prices
inferredcites →https://doi.org/10.1093/rfs/hhac011openalex-snapshot
Macroeconomic Attention and Announcement Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhag061openalex-snapshot
Too Good to Be True: Look-Ahead Bias in Empirical Options Research
inferredcites →https://doi.org/10.1093/rfs/hhg002openalex-snapshot
Delta-Hedged Gains and the Negative Market Volatility Risk Premium
inferredcites →https://doi.org/10.1093/rfs/hhp032openalex-snapshot
Understanding Index Option Returns
inferredcites →https://doi.org/10.1093/rfs/hhx113openalex-snapshot
Illiquidity Premia in the Equity Options Market
inferredcites →https://doi.org/10.1093/rof/rfac042openalex-snapshot
Information Acquisition, Uncertainty Reduction, and Pre-Announcement Premium in China
inferredcites →https://doi.org/10.1093/rof/rfn025openalex-snapshot
Resolving Macroeconomic Uncertainty in Stock and Bond Markets
inferredcites →https://doi.org/10.1093/rof/rfz015openalex-snapshot
One Central Bank to Rule Them All
inferredcites →https://doi.org/10.1111/0022-1082.00352openalex-snapshot
Expected Option Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.01006.xopenalex-snapshot
Model Uncertainty and Option Markets with Heterogeneous Beliefs
inferredcites →https://doi.org/10.1111/jofi.12196openalex-snapshot
The Pre-FOMC Announcement Drift
inferredcites →https://doi.org/10.1111/jofi.12220openalex-snapshot
Aggregate Jump and Volatility Risk in the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/jofi.12499openalex-snapshot
Exchange Rates and Monetary Policy Uncertainty
inferredcites →https://doi.org/10.1111/jofi.13279openalex-snapshot
Option Momentum
inferredcites →https://doi.org/10.1257/aer.20181470openalex-snapshot
Missing Events in Event Studies: Identifying the Effects of Partially Measured News Surprises
inferredcites →https://doi.org/10.2139/ssrn.3961096openalex-snapshot
Information-Driven Volatility
inferredcites →https://doi.org/10.2139/ssrn.4412837openalex-snapshot
The Price of Macroeconomic Uncertainty: Evidence from Daily Option Expirations
inferredcites →https://doi.org/10.2139/ssrn.4422376openalex-snapshot
Warp Speed Price Moves: Jumps after Earnings Announcements
inferredcites →https://doi.org/10.2139/ssrn.4484011openalex-snapshot
FOMC Event Risk
inferredcites →https://doi.org/10.2307/1913610openalex-snapshot
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.3386/w28687openalex-snapshot
What Triggers Stock Market Jumps?
inferredcites →https://doi.org/10.3386/w31923openalex-snapshot
Macroeconomic Announcement Premium
inferredcites →https://doi.org/10.3982/ecta14607openalex-snapshot
Risk Preferences and the Macroeconomic Announcement Premium
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