News and Asset Pricing: A High-Frequency Anatomy of the SDF

160 Pages Posted: 22 Sep 2022 Last revised: 19 Dec 2023

See all articles by Saketh Aleti

Saketh Aleti

Duke University, Department of Economics

Tim Bollerslev

Duke University - Finance; Duke University - Department of Economics; National Bureau of Economic Research (NBER)

Date Written: August 31, 2022

Abstract

Utilizing real-time newswire data together with a robustly estimated intraday Stochastic Discount Factor (SDF), we identify and precise the economic news that is priced. News related to monetary policy and finance on average accounts for most of the variation in the SDF, followed by news about international affairs and macroeconomic data. We also document non-trivial temporal variation in the relative importance of the news, along with marked differences in the estimated news risk premia in the “factor zoo.” Further highlighting the economic mechanisms at work, we associate the different news effects with interest rate, growth, and risk premium shocks.

Keywords: SDF, high-frequency factors, jumps, news, risk premiums

JEL Classification: C58, G12, G14

Suggested Citation

Aleti, Saketh and Bollerslev, Tim, News and Asset Pricing: A High-Frequency Anatomy of the SDF (August 31, 2022). Available at SSRN: https://ssrn.com/abstract=4206481 or http://dx.doi.org/10.2139/ssrn.4206481

Saketh Aleti

Duke University, Department of Economics ( email )

Durham, NC
United States

Tim Bollerslev (Contact Author)

Duke University - Finance ( email )

Durham, NC 27708-0120
United States
919-660-1846 (Phone)
919-684-8974 (Fax)

Duke University - Department of Economics

213 Social Sciences Building
Box 90097
Durham, NC 27708-0204
United States

National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
United States

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