The effect of macroeconomic news on stock returns: New evidence from newspaper coverage

Gene Birz and John R. Lott

Journal of Banking & Finance, 2011, vol. 35, issue 11, 2791-2800

Abstract: Previous literature has produced weak evidence to support the hypothesis that real economic news affects stock returns. This is, in part, attributed to the difficulty of measuring how investors interpret macroeconomic announcements in different economic environments. In this paper, we choose a different approach of measuring macroeconomic news to better estimate its effect on stock returns. Since newspaper stories provide an interpretation of the statistical releases, we choose newspaper stories as our measure of news. Our findings indicate that news about GDP and unemployment does affect stock returns.

Keywords: Stock; returns; Macroeconomic; news; Information (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (104)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:35:y:2011:i:11:p:2791-2800

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