The macroeconomic announcement premium and information environment

Chu Zhang and Shen Zhao

Journal of Monetary Economics, 2023, vol. 139, issue C, 55-73

Abstract: The quality of information environment has impact on the market risk premium and the expected risk reduction on macroeconomic announcement days. The risk premium is high when the risk is high as in standard asset pricing models, while the risk premium is low when the prevailing information environment is poor. The same is true for the expected risk reduction. These effects extend to market factor premiums (i.e., the premium associated with market betas) on various sets of portfolios and have a connection with business cycles. The findings are consistent with the notion that poor information environment hampers the effectiveness of learning.

Keywords: Macroeconomic news; Announcement premium; Risk reduction; Information quality; Business cycles (search for similar items in EconPapers)
JEL-codes: D8 G12 G14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:139:y:2023:i:c:p:55-73

DOI: 10.1016/j.jmoneco.2023.06.005

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