Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 25, 2020 erstellt
Beschreibung:
I document a shift in the stock market's reaction to employment news beginning early 2000s. Good employment news increases stock prices during expansions but has no effect during recessions. Overall, good employment news is good for stocks, a shift from the relationship documented in earlier studies. Furthermore, good employment news continues to decrease bond returns. The opposite response of stock and bond returns to employment news is consistent with the negative stock and bond return correlation in recent times. Risk premium drives the recent stock price reaction to employment news whereas interest rate was the dominant channel prior to 2000s