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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News
Macroeconomic news announcements
Cross-section of stock returns
Price of risk
Contraction
Macroeconomic fundamentals
Macroeconomic news
Macroeconomic announcements

Keywords

  • Economic Risk Premiums
  • Macroeconomic Announcements

Cite this

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title = "Is macroeconomic announcement news priced?",
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.",
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author = "{de Goeij}, Peter and Jiehui Hu and Bas Werker",
year = "2016",
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journal = "Bankers, Markets and Investors",
issn = "2101-9304",

}

Is macroeconomic announcement news priced? / de Goeij, Peter; Hu, Jiehui; Werker, Bas.

In: Bankers, Markets and Investors, Vol. 143, 2016, p. 4-17.

Research output: Contribution to journalArticleScientificpeer-review

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N2 - 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.

AB - 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.

KW - Economic Risk Premiums

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SN - 2101-9304

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