| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15581 |
| DP15581 Expectation dispersion, uncertainty, and the reaction to news | |
| Benjamin Born; Jonas Dovern; Zeno Enders | |
| 发表日期 | 2020-12-20 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the preceding dispersion in expectations about the indicator value. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model, dispersion results from a perceived weak link between macroeconomic indicators and fundamentals that reduces the informational content of indicators, while higher fundamental uncertainty makes this informational content more valuable. |
| 主题 | International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Expectation dispersion Uncertainty Macroeconomic news stock market Event study Forecaster disagreement |
| URL | https://cepr.org/publications/dp15581 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544589 |
| 推荐引用方式 GB/T 7714 | Benjamin Born,Jonas Dovern,Zeno Enders. DP15581 Expectation dispersion, uncertainty, and the reaction to news. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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