Most of the Standard & Poor 500 Index’s gains between September 1994 and March 2011 were recorded around the time of regular meetings, the results showed. The index climbed about 180 percent during those 17 years.
The CHART OF THE DAY tracks the S&P 500 before, during and after the Federal Open Market Committee on April 25. Members left policy unchanged at the gathering.
Three-day intervals were analyzed in the study by David O. Lucca and Emanuel Moench, economists at the New York Fed. The periods started the day before the panel announced each of its decisions and ended the day after.
“Pre-FOMC announcement ‘drift’” largely explained the S&P 500’s moves, they wrote yesterday on the New York Fed’s Liberty Street Economics blog. The posting highlighted their research, published June 14 on the Social Science Research Network in a revised version.
The 24 hours that ended at 2 p.m. Eastern time on announcement days were the most lucrative, according to the study. The S&P 500 gained an average of 0.5 percent more than one-month Treasury bills during those periods. In other 24-hour periods throughout the years, the index’s performance was about the same as the bills. Policy decisions were disclosed at about 2:15 p.m. before April 2011, when some releases were moved to 12:30 p.m.
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