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Excess stock returns during monetary policy announcement days in the euro area and the US

Korop, Oleh; Kotelnikov, Nikita
Master thesis
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URI
http://hdl.handle.net/11250/2579925
Date
2018
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  • Master of Science [963]
Abstract
We investigate the excess stock return performance during the ECB monetary policy

decision (MPD) and the FOMC days. In particular, why on average there are a high

excess return during the FOMC days but not during the ECB. We compare the

average conventional, unconventional and the uncertainty shock levels as well as

reaction to them in the euro area and the US during the ECB MPD and the FOMC

days. The main finding is that the difference between

the excess return on the ECB MPD and the FOMC days comes from the

ability of central banks to move down uncertainty and not from monetary easing.
Description
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2018
Publisher
Handelshøyskolen BI

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