A Model of Two Days: Discrete News and Asset Prices

• 成果类型: Article
• 署名作者: Wachter, Jessica A.; Zhu, Yicheng
• 署名单位: University of Pennsylvania; National Bureau of Economic Research; Hong Kong University of Science & Technology
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab080
• 发表日期: 2022
• 页码: 2246
• 关键词: bond market; RISK; equilibrium

摘要

Empirical studies demonstrate striking patterns in stock returns related to scheduled macroeconomic announcements. A large proportion of the total equity premium is realized on days with macroeconomic announcements. The relation between market betas and expected returns is far stronger on announcement days as compared with nonannouncement days. Finally, these results hold for fixed-income investments as well as for stocks. We present a model in which agents learn the probability of an adverse economic state on announcement days. We show that the model quantitatively accounts for the empirical findings. Evidence from options data provides support for the model's mechanism.