Is Macroeconomic Announcement News Priced?
31 Pages Posted: 17 Feb 2009 Last revised: 29 Nov 2013
Date Written: November 29, 2013
In this paper, we test whether news contained in macroeconomic announcements 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.
Keywords: Economic risk premia, macroeconomic announcements
JEL Classification: G12, G14
Suggested Citation: Suggested Citation