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Is Macroeconomic Announcement News Priced?

Peter De Goeij and Jiehui Hu
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Peter De Goeij: Tilburg University

Bankers, Markets & Investors, 2016, issue 143, 4-17

Abstract: We test whether news contained in macroeconomic announcements (MEAs) is priced in the cross-section of stock returns. When including news on a set of widely followed individual macroeconomic fundamentals in the cross-section of stock returns, estimates of their prices of risk are consistent with the explanation that good news on the economy is bad news for stocks during expansions. In contrast, during contractions, good news on the economy is good news for stocks as well. We find, however, that for most macroeconomic news events, their prices of risk are estimated imprecisely due to lack of data.

Keywords: Economic Risk Premiums; Macroeconomic Announcements (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2016
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