Macroeconomic Attention: A State Variable for Announcement Risk Premia?

2017 Financial Intermediation Research Society Conference

2016 ASU Sonoran Winter Finance Conference

49 Pages Posted: 15 Dec 2015 Last revised: 13 Jan 2020

See all articles by Adlai J. Fisher

Adlai J. Fisher

University of British Columbia (UBC) - Sauder School of Business

Charles Martineau

University of Toronto - Rotman School of Management and UTSC Management

Jinfei Sheng

University of California, Irvine - Paul Merage School of Business

Date Written: January 11, 2020

Abstract

We construct indices of attention to macroeconomic risks including employment, output growth, and monetary policy. Attention rises around macroeconomic announcements and following changes in fundamentals over quarterly, annual, and business cycle horizons. The effect is asymmetric: Bad news raises attention more than good news. Further, attention to macroeconomic news provides a useful instrument for the level of the risk premium associated with unemployment and FOMC announcements. The findings establish the validity of the proposed empirical measures of macroeconomic attention, and confirm the central predictions of theories of endogenous attention and announcement risk premia.

Keywords: macroeconomic attention, announcement risk premia, endogenous attention, macroeconomic fundamentals

JEL Classification: G12, E20

Suggested Citation

Fisher, Adlai J. and Martineau, Charles and Sheng, Jinfei, Macroeconomic Attention: A State Variable for Announcement Risk Premia? (January 11, 2020). 2017 Financial Intermediation Research Society Conference; 2016 ASU Sonoran Winter Finance Conference. Available at SSRN: https://ssrn.com/abstract=2703978 or http://dx.doi.org/10.2139/ssrn.2703978

Adlai J. Fisher (Contact Author)

University of British Columbia (UBC) - Sauder School of Business ( email )

2053 Main Mall
Vancouver, BC V6T 1Z2
Canada
604-822-8331 (Phone)
604-822-4695 (Fax)

HOME PAGE: http://finance.sauder.ubc.ca/~fisher

Charles Martineau

University of Toronto - Rotman School of Management and UTSC Management ( email )

105 St-George
Toronto, Ontario M5S3E6
Canada

HOME PAGE: http://charlesmartineau.com

Jinfei Sheng

University of California, Irvine - Paul Merage School of Business ( email )

4291 Pereira Dr
Irvine, CA 92697
United States

HOME PAGE: http://sites.google.com/site/shengjinfei/

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