Can a Non-Event Be an Event? The Case of Bank Stock Returns Surrounding Unexpected Interest Rate Inaction by the Federal Reserve
Document Type
Article
Publication Date
5-25-2020
Publication Title
Journal of Accounting and Finance
DOI
10.33423/jaf.v20i2.2809
ISSN
2158-3625
Abstract
In September 2015, the Federal Open Markets Committee (FOMC) opted not to act when an increase in interest rates was largely expected. Further, President Yellen’s comments were atypical. We investigate the effect of this announcement on the stock returns of US financial firms; more than a third of which experienced negative abnormal returns. The reaction; however, was not identical across firms indicating differential treatment based on individual firm characteristics. Our results suggest that institution size and classification as a commercial bank are the primary drivers. The outcomes of this study are important as they support the theory of rational pricing and market efficiency.
Recommended Citation
Lee, Allissa A., David A. Carter.
2020.
"Can a Non-Event Be an Event? The Case of Bank Stock Returns Surrounding Unexpected Interest Rate Inaction by the Federal Reserve."
Journal of Accounting and Finance, 20 (2): 11-32: North American Business Press.
doi: 10.33423/jaf.v20i2.2809 source: https://articlegateway.com/index.php/JAF/article/view/2809
https://digitalcommons.georgiasouthern.edu/finance-facpubs/130
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