Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 10, 2020 erstellt
Beschreibung:
This study examines the dynamics of asset pricing around macroeconomic news announcements. Prior literature documents a significantly positive implied and realized market premia on macroeconomic announcement days. I investigate the days before and after announcements and find a significant swing of market premia from negative on the day before, to positive on the day of, and negative again on the day after announcements. The average premia over the three-day window – the day of announcements plus the day before and the day after – are no longer significant. I show that changes in risk only partially account for the swing of market premia. On the other hand, I find that shifts in investor risk aversion or price of risk offer a consistent explanation of the swing