Macroeconomic Attention and Announcement Risk Premia
Review of Financial Studies, Forthcoming
52 Pages Posted: 15 Dec 2015 Last revised: 13 Jan 2022
Date Written: January 11, 2022
We construct macroeconomic attention indices (MAI), new measures of attention to different macroeconomic risks including unemployment and monetary policy. Individual MAI tend to increase around related announcements and following changes in related fundamentals. Further, bad news raises attention more than good news. For unemployment and FOMC, attention predicts announcement risk premia and implied volatility changes with large economic magnitudes. Our findings support theories of endogenous attention and announcement risk premia while demonstrating future research directions, including that announcements can raise new concerns. Macroeconomic announcements are important not only for contents and timing, but also attention.
Keywords: macroeconomic attention, announcement risk premia, endogenous attention, macroeconomic fundamentals
JEL Classification: G12, E20
Suggested Citation: Suggested Citation