The effect of macroeconomic news on beliefs and preferences: Evidence from the options market

• 成果类型: Article
• 署名作者: Beber, Alessandro; Brandt, Michael W.
• 署名单位: Duke University; National Bureau of Economic Research; University of Lausanne
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2006.05.013
• 发表日期: 2006
• 页码: 1727-1769
• 关键词: time-varying preferences; macroeconomic annoucements; option-implied risk aversion

摘要

We examine the effect of regularly scheduled macroeconomic announcements on the beliefs and preferences of participants in the U.S. Treasury market by comparing the option-implied state-price densities (SPDs) of bond prices shortly before and after the announcements. We find that the announcements reduce the uncertainty implicit in the second moment of the SPD regardless of the content of the news. The changes in the higher-order moments, in contrast, depend on whether the news is good or bad for economic prospects. We explore three alternative explanations for our empirical findings: relative mispricing, changes in beliefs, and changes in preferences. We find that our results are consistent with time-varying risk aversion. (c) 2006 Elsevier B.V. All rights reserved.