Analysts, Macroeconomic News, and the Benefit of In-House Economists

2013 ◽  
Author(s):  
Artur Hugon ◽  
Alok Kumar ◽  
An-Ping Lin
Keyword(s):  
Macroeconomic News

Market reaction to scheduled and unscheduled news announcements under varying economic conditions

2020 ◽  
Author(s):  
◽  
Parveshsingh Seeballack
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Implied Volatility ◽  
Equity Market ◽  
Economic Conditions ◽  
Time Varying ◽  
Equity Risk Premium ◽  
Macroeconomic News ◽  
Equity Risk ◽  
News Announcements

The unifying theme of this dissertation is the study of the role of macroeconomic news announcements in the context of the equity market. We focus on two important areas of the asset pricing theory, namely price discovery and equity risk premium forecasting. Chapter 2 investigates the time-varying sensitivity of stock returns to scheduled macroeconomic news announcements (MNAs) using high-frequency data. We present new insights into how efficiently stock returns incorporate the informational content of MNAs. We further provide evidence that the stock market response to MNAs is cyclical, and finally we conclude Chapter 2 with an investigation into the factors driving the time-varying sensitivity of stock return to MNAs. Chapter 3 investigates the time-varying sensitivity of stock returns in the context of unscheduled macroeconomic news announcements using high-frequency data. We investigate the speed and persistence in stock returns’ response to unscheduled macro-news announcements, and whether the reactions are dependent on the state of the economy, or general investor sentiment level. Combined, Chapters 2 and 3 provide interesting insights into how equity market participants react to the arrival of scheduled and unscheduled macro-announcements, under varying economic conditions. Chapter 4 focuses on equity risk premium forecasting. We investigate the predictive ability of option-implied volatility variables at monthly horizon, under varying economic conditions. We innovate by constructing monthly announcement and non-announcement option-implied volatility predictors and assess whether the monthly announcement option-implied volatility predictors contain additional information for better out-of-sample predictions of the monthly equity risk premium. Each of the three empirical chapters explores a unique aspect of the asset pricing theory in the context of the U.S. equity market.

Sign in / Sign up

Export Citation Format

Share Document