| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24432 |
| 来源ID | Working Paper 24432 |
| The Macroeconomic Announcement Premium | |
| Jessica A. Wachter; Yicheng Zhu | |
| 发表日期 | 2018-03-26 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Empirical studies demonstrate striking patterns in stock market returns in relation to scheduled macroeconomic announcements. First, a large proportion of the total equity premium is realized on days with macroeconomic announcements, despite the small number of such days. Second, the relation between market betas and expected returns is far stronger on announcement days as compared with non-announcement days. Third, risk as measured by volatilities and betas is equal on both types of days. We present a model with rare events that jointly explains these phenomena. In our model, which is solved in closed form, agents learn about a latent disaster probability from scheduled announcements. We quantitatively account for the empirical findings, along with other facts about the market portfolio. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w24432 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582105 |
| 推荐引用方式 GB/T 7714 | Jessica A. Wachter,Yicheng Zhu. The Macroeconomic Announcement Premium. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24432.pdf（686KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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