Fisher, Adlai J.
[Verfasser:in]
;
Martineau, Charles
[Sonstige Person, Familie und Körperschaft];
Sheng, Jinfei
[Sonstige Person, Familie und Körperschaft]
Macroeconomic Attention and Announcement Risk Premia
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 20, 2020 erstellt
Beschreibung:
We construct indices of attention to macroeconomic risks including employment, output growth, and monetary policy. Attention rises around macroeconomic announcements and following changes in fundamentals over quarterly, annual, and business cycle horizons. The effect is asymmetric: Bad news raises attention more than good news. Moreover, attention to macroeconomic news provides a useful instrument for the level of the risk premium associated with unemployment and FOMC announcements. The findings support the central predictions of theories of endogenous attention and announcement risk premia, and establish the validity of the proposed empirical measures of macroeconomic attention