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

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.