Is macroeconomic announcement news priced?

Research output: Contribution to journalArticleScientificpeer-review

Abstract

We test whether news contained in macroeconomic announcements (MEAs) is priced in the cross-section of stock returns. When including news on a set of widely followed individual macroeconomic fundamentals in the cross-section of stock returns, estimates of their prices of risk are consistent with the explanation that good news on the economy is bad news for stocks during expansions. In contrast, during contractions, good news on the economy is good news for stocks as well. We find, however, that for most macroeconomic news events, their prices of risk are estimated imprecisely due to lack of data.
Original languageEnglish
Pages (from-to)4-17
JournalBankers, Markets and Investors
Volume143
Publication statusPublished - 2016

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Keywords

  • Economic Risk Premiums
  • Macroeconomic Announcements

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