Is Macroeconomic Announcement News Priced?

31 Pages Posted: 17 Feb 2009 Last revised: 29 Nov 2013

See all articles by Peter de Goeij

Peter de Goeij

Tilburg University

Jiehui Hu

Independent

Bas J. M. Werker

Tilburg University - Center for Economic Research (CentER)

Date Written: November 29, 2013

Abstract

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

de Goeij, Peter and Hu, Jiehui and Werker, Bas J.M., Is Macroeconomic Announcement News Priced? (November 29, 2013). Available at SSRN: https://ssrn.com/abstract=1344759 or http://dx.doi.org/10.2139/ssrn.1344759

Peter De Goeij

Tilburg University ( email )

P.O. Box 90153
Room I607
Tilburg, Noord-Brabant 5000 LE
Netherlands
+31134662083 (Phone)

Bas J.M. Werker

Tilburg University - Center for Economic Research (CentER) ( email )

Econometrics and Finance Group
5000 LE Tilburg
Netherlands

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