Macroeconomic Attention and Announcement Risk Premia

5th ASU Sonoran Winter Finance Conference

53 Pages Posted: 15 Dec 2015 Last revised: 24 Mar 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: March 20, 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. Moreover, attention to macroeconomic news provides a useful instrument for the level of the risk premium associated with unemployment and FOMC announcements. The findings support the central predictions of theories of endogenous attention and announcement risk premia, and establish the validity of the proposed empirical measures of macroeconomic attention.

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 and Announcement Risk Premia (March 20, 2020). 5th 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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