Risk Premia in the 8:30 Economy

Jon Faust () and Jonathan Wright
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Jon Faust: Department of Economics, Johns Hopkins University, Baltimore MD 21218, USA

Quarterly Journal of Finance (QJF), 2018, vol. 08, issue 03, 1-19

Abstract: Financial asset risk premia are widely agreed to vary over time. This paper decomposes these risk premia into expected excess returns earned in short windows around the times of macroeconomic news announcements (which mostly come out at 8:30am) and the expected excess returns that are earned at other times. Using intradaily data, we find that some, but not all, of the time-varying expected excess returns accrue right around macroeconomic announcements. In forecasting six-month cumulative bond returns, there is more predictability in announcement windows than at other times.

Keywords: Macroeconomic announcements; risk premia; fixed income; return predictability (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (4)

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DOI: 10.1142/S2010139218500106

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