Macroeconomic Attention and Announcement Risk Premia

Review of Financial Studies, Forthcoming

52 Pages Posted: 15 Dec 2015 Last revised: 13 Jan 2022

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, 2022

Abstract

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

Fisher, Adlai J. and Martineau, Charles and Sheng, Jinfei, Macroeconomic Attention and Announcement Risk Premia (January 11, 2022). Review of Financial Studies, Forthcoming, 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 Drive
Irvine, CA 92697
United States

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

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