Macroeconomic Attention and Announcement Risk Premia
5th ASU Sonoran Winter Finance Conference
48 Pages Posted: 15 Dec 2015 Last revised: 1 Jul 2021
Date Written: June 30, 2021
We construct macroeconomic attention indices (MAI), new measures of attention to different macroeconomic risks including monetary policy and employment. Individual MAI increase several days before a related announcement, on average. MAI also respond to changes in macroeconomic fundamentals, with bad news raising attention more than good news. Across announcements, 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