Macroeconomic Attention and Announcement Risk Premia

• 成果类型: Article
• 署名作者: Fisher, Adlai; Martineau, Charles; Sheng, Jinfei
• 署名单位: University of British Columbia; University of Toronto; University of California System; University of California Irvine
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac011
• 发表日期: 2022
• 页码: 5057
• 关键词: expected stock returns; long-run; investor attention; MARKETS REACTION; Price discovery; INFORMATION; volatility; news; media; MODEL

摘要

We construct macroeconomic attention indexes (MAI), which are new measures of attention to different macroeconomic risks, including unemployment and monetary policy. Individual MAI tend to increase around related announcements and following changes in related fundamentals. Further, bad news raises attention more than good news. For unemployment and FOMC, attention predicts announcement risk premiums and implied volatility changes with large economic magnitudes. Our findings support theories of endogenous attention and announcement risk premiums, while demonstrating future research directions, including that announcements can raise new concerns. Macroeconomic announcements are important not only for contents and timing but also for attention.