Is There a Macro-Announcement Premium?

74 Pages Posted: 11 Apr 2023 Last revised: 21 Apr 2023

See all articles by Mohammad Ghaderi

Mohammad Ghaderi

University of Kansas - School of Business

Sang Byung Seo

University of Wisconsin - Madison

Date Written: April 20, 2023


The conditional return volatility barely drops at macro-announcements. This is at odds with the notion that high announcement returns are a manifestation of a large announcement premium. We show that models with an announcement premium cannot explain the joint patterns of return and volatility over announcement days. Surprisingly, traditional models, which do not feature such a premium, can. Our estimation results based on a statistical setup indicate that the average announcement return is mostly attributable to the monetary policy surprise and pure small-sample components, which do not average out in-sample; the announcement premium is estimated to be small, if any.

Keywords: macroeconomic announcement, announcement return, announcement premium, monetary policy surprise, small-sample issues

JEL Classification: G12, E52, C10, D83

Suggested Citation

Ghaderi, Mohammad and Seo, Sang Byung, Is There a Macro-Announcement Premium? (April 20, 2023). Available at SSRN: or

Mohammad Ghaderi

University of Kansas - School of Business ( email )

1654 Naismith Dr.
Lawrence, KS 66045
United States


Sang Byung Seo (Contact Author)

University of Wisconsin - Madison ( email )

975 University Avenue
Madison, WI 53706-1324


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