Macroeconomic Attention and the Stock Market

2017 Financial Intermediation Research Society Conference

2016 ASU Sonoran Winter Finance Conference

2016 Northern Finance Association Conference

2016 China International Conference in Finance

50 Pages Posted: 15 Dec 2015 Last revised: 17 Aug 2018

Adlai J. Fisher

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

Charles Martineau

University of Toronto

Jinfei Sheng

University of California, Irvine - Paul Merage School of Business

Date Written: May 29, 2018

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, changes in attention before unemployment and FOMC announcements predict announcement surprises, stock returns, and implied volatility changes on the announcement day. These findings are consistent with theories of endogenous attention and macroeconomic announcement risk premia.

Keywords: Attention Dynamics, Macroeconomic Fundamentals, Stock Market

JEL Classification: G12, E20

Suggested Citation

Fisher, Adlai J. and Martineau, Charles and Sheng, Jinfei, Macroeconomic Attention and the Stock Market (May 29, 2018). 2017 Financial Intermediation Research Society Conference; 2016 ASU Sonoran Winter Finance Conference; 2016 Northern Finance Association Conference; 2016 China International Conference in Finance. 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 ( 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 )

4293 Pereira Dr
Irvine, CA 92697
United States

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

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