Main Street's Pain, Wall Street's Gain

• 成果类型: Article
• 署名作者: Xu, Nancy R.; You, Yang
• 署名单位: Boston College; University of Hong Kong
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104037
• 发表日期: 2025
• 关键词: Return dynamics; Macroeconomic news announcement; Labor news; Fiscal policy expectations; Covid-19; Textual analysis; Cross section

摘要

We propose a fiscal policy expectations mechanism. When bad macro news arrives (in our study, when initial jobless claims (IJC) are higher than expected), investors may expect more generous government spending and drive up aggregate stock prices through the expected cash flow channel. Using a time-series sample from January 2013 to March 2021, we find that this phenomenon emerges when newspapers mention fiscal policy more. In the cross section, firms expected to receive more government spending - through stimulus supports during COVID-19 or procurement contracts before 2020 - exhibit higher individual stock returns when bad IJC shocks arrive.