Hard News, Soft News, and the S&P 500 Variance Risk Premium on FOMC Statement DaysAguirre Torres, Andres EconomicsFinanceS&P 500FOMCVariance Risk PremiumInterdisciplinary in Economics and FinanceB SThis thesis examines whether the S&P 500 variance risk premium (VRP) on Federal Open Market Committee (FOMC) statement days reflects only futures-based monetary policy surprises or also the tone of the FOMC statement. I use a VIX-based proxy for implied variance and forward realized variance over the next 22 trading days for 78 scheduled FOMC events from 2016 to 2025. To clarify, I compare a hard-news surprise measure (the first principal component of ED1–ED4 futures changes) with two soft-news tone measures: one from the Loughran–McDonald dictionary, and one from FinBERT. After controlling for pre-meeting volatility, neither the conventional surprise measure nor the dictionary-based tone measure explains cross-meeting changes in meeting day VRP, while the FinBERT tone measure does. Specifically, more positive FinBERT statement language is associated with a lower VRP. These results show that contextual language models capture market-relevant information in FOMC communications better than either dictionary-based tone measures or futures-based surprise factors.Mihail Velikov, Thesis SupervisorSung Jae Jun, Thesis Honors AdvisorBrian Spangler Davis, Thesis Honors Advisoropen_access2026-04-15T04:20:05Zhttps://honors.libraries.psu.edu/catalog/10189ava6461