Post-FOMC Announcement Drift in U.S. Bond Markets
NBER Working Paper No. 25127
---- Acknowledgments ----
We would like to thank Michael Bauer, Arvind Krishnamurthy, Sylvain Leduc, Matteo Maggiori, Ravi Mattu, Emi Nakamura, Lars Nielsen, Alexi Savov, Jeremy Stein, Ken Singleton, Marti Subramanyam, Jón Steinsson, Andrea Vedolin, Jeff Wurgler and seminar participants at NYU Stern, the San Francisco Federal Reserve Bank, Stanford, PIMCO and AQR Capital Management. We are especially grateful to Eric Swanson who provided detailed comments. All remaining errors are ours. Corresponding author: Lustig at the Stanford GSB, 655 Knight Way, Stanford, CA 94305 (firstname.lastname@example.org). This research is partly funded by AQR Capital Management. Disclaimer: AQR Capital Management is a global investment management firm, which may or may not apply similar investment techniques or methods of analysis as described herein. The views expressed here are those of the authors and not necessarily those of AQR or the National Bureau of Economic Research.
---- Disclosure of Financial Relationships for Hanno Lustig ----
Hanno Lustig has an on-going consulting relationship with AQR Capital Management.