---
title: FOMC Announcement Premiums
url: https://www.ml-quant.com/papers/ssrn/5237922/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 5237922
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5237922
featured: 2025-06-25
citations: unknown
topic: Asset Pricing & Factors
---


# FOMC Announcement Premiums

Currency risk premiums fluctuate on U.S. FOMC announcement days, with currencies expecting a larger reduction in implied variance earning higher returns.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5237922
- Identifier: SSRN 5237922
- Released: 2025-05-07
- First featured: Quant Letter No. 103 (2025-06-25): https://www.ml-quant.com/issues/2025-06-25/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Asset Pricing & Factors

## Related

- [Yields vs. Equity Premium](https://www.ml-quant.com/papers/ssrn/4946768/): The stock market's reaction to monetary policy surprises is primarily due to changes in the default-free term structure of yields, not equity premium changes, as per a new method using dividend futures prices.
- [Predicting Asset Prices with Inflation](https://www.ml-quant.com/papers/ssrn/4925404/): The research develops a model using inflation and central bank interest rates to predict US consumption growth and explain stock and bond market characteristics.
- [Currency Risk Premiums Study](https://www.ml-quant.com/papers/ssrn/4849102/): A currency cross-section study found that only a small fraction of nontradable factors, mostly related to volatility, uncertainty, and liquidity, have a significant risk premium, not macro variables.
- [Risk Premia in the Commodity Market](https://www.ml-quant.com/papers/ssrn/4796343/): Machine learning methodologies reveal that momentum factors from equity, bonds, and currencies are priced into commodity returns, indicating a connection between commodity and other financial markets.
- [Cross-Momentum in Financial Markets](https://www.ml-quant.com/papers/ssrn/4793814/): A study shows that equity futures and currency portfolios sorted by cross-momentum perform better than those sorted by normal momentum, especially in commodity exporting countries.
- [Skewness Risk Premia and the Cross-Section of Currency Returns](https://www.ml-quant.com/papers/repec/cpr-ceprdp-20587/): Using model-free skewness measures from currency options, the study shows that skewness risk is priced in currency returns and explains variation across a broad cross-section of currency portfolios.