| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25817 |
| 来源ID | Working Paper 25817 |
| Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns | |
| Grace Xing Hu; Jun Pan; Jiang Wang; Haoxiang Zhu | |
| 发表日期 | 2019-05-13 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We find large overnight returns, with no abnormal variance, before the release of nonfarm payrolls, ISM, and GDP, similar to the pre-FOMC returns. To explain this common pattern, we propose a two-risk model with the uncertainty about the magnitude of the impending news' market impact as an additional risk, and link the pre-announcement return directly to the accumulation of heightened uncertainty and its later resolution prior to the announcement. We empirically test and verify the model's distinct predictions on the joint intertemporal behavior of return, variance, and particularly VIX—a gauge of impact uncertainty by our model, surrounding macroeconomic announcements. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w25817 |
| 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/583490 |
| 推荐引用方式 GB/T 7714 | Grace Xing Hu,Jun Pan,Jiang Wang,et al. Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns. 2019. |
| 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 | ||
| w25817.pdf（619KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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