Abstract
A press conference (PC) organized by the Federal Open Market Committee (FOMC) followed half of the scheduled announcements from 2011 to 2018. We document that excess stock returns are strongly and positively related to their betas on announcement days with a PC. In addition, the cross-sectional dispersion in betas declines substantially on PC days when measured using both daily and intraday return data. These effects are absent on announcement days without a PC. Last, we find that stock-bond correlations are positive (negative) on PC (all other) days and that their variations are related to uncertainty and yield curve information. We discuss implications and possible explanations for our findings.
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