Kröncke, TimSchmeling, MaikSchrimpf, Andreas2024-06-042024-06-0420210304-39321873-129510.2139/ssrn.3072912https://irf.fhnw.ch/handle/11654/43463We identify a component of monetary policy news that is extracted from high-frequency changes in risky asset prices. These surprises, which we call “risk shifts”, are uncorrelated, and therefore complementary, to risk-free rate surprises. We show that (i) risk shifts capture the lion’s share of stock price movements around FOMC announcements; (ii) that they are accompanied by significant investor fund flows, suggesting that investors react heterogeneously to monetary policy news; and (iii) that price pressure amplifies the stock market response to monetary policy news. Our results imply that central bank information effects are overshadowed by short-term dynamics stemming from investor rebalancing activities and are likely to be more difficult to identify than previously thought.en330 - Wirtschaft01A - Beitrag in wissenschaftlicher Zeitschrift21-39