The DOI matches its Crossref record; 58 of the 58 references it cites were found in a registry or an index.
How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
Abstract
Stock market average returns and Sharpe ratios are significantly higher on days when important macroeconomic news about inflation, unemployment, or interest rates is scheduled for announcement. The average announcement-day excess return from 1958 to 2009 is 11.4 basis points (bp) versus 1.1 bp for all the other days, suggesting that over 60% of the cumulative annual equity risk premium is earned on announcement days. The Sharpe ratio is 10 times higher. In contrast, the risk-free rate is detectably lower on announcement days, consistent with a precautionary saving motive. Our results demonstrate a trade-off between macroeconomic risk and asset returns, and provide an estimate of the premium investors demand to bear this risk.
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Cites
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Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
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Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
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A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
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An Intertemporal Capital Asset Pricing Model
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Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
Bansal, R., & Yaron, A. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00670.x · Cited by 4,242
The Information Content of Annual Earnings Announcements
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Fama, E. F., & Schwert, G. W. (1977) · Journal of Financial Economics · doi:10.1016/0304-405x(77)90014-9 · Cited by 2,687
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Fama, E. F. (1981) · American Economic Review · Cited by 2,559
Cited by
The Sum of All FEARS Investor Sentiment and Asset Prices
Da, Z., Engelberg, J., & Gao, P. (2015) · Review of Financial Studies · doi:10.1093/rfs/hhu072 · Cited by 1,379
The Pre‐FOMC Announcement Drift
LUCCA, D. O., & MOENCH, E. (2015) · The Journal of Finance · doi:10.1111/jofi.12196 · Cited by 624
Metadata
- Authors
- Savor, P., & Wilson, M.
- Venue
- Journal of Financial and Quantitative Analysis
- Publisher
- Cambridge University Press (CUP)
- Published
- 2013-04
- Volume
- 48
- Issue
- 2
- Pages
- 343-375
- ISSN
- 0022-1090 (ISSN-L)
- 1756-6916
- OpenAlex
- W3125428948
- Cited by
- 409
- References
- 58
- FWCI
- 34.90
- Type
- journal article
- Language
- en
- Open access
- closed
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