Asset pricing: A tale of two days

• 成果类型: Article
• 署名作者: Savor, Pavel; Wilson, Mungo
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; University of Oxford; University of Oxford
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.04.005
• 发表日期: 2014
• 页码: 171-201
• 关键词: Cross-section of returns; CAPM; announcements; RISK

摘要

We show that asset prices behave very differently on days when important macroeconomic news is scheduled for announcement. In addition to significantly higher average returns for risky assets on announcement days, return patterns are much easier to reconcile with standard asset pricing theories, both cross-sectionally and over time. On such days, stock market beta is strongly related to average returns. This positive relation holds for individual stocks, for various test portfolios, and even for bonds and currencies, suggesting that beta is after all an important measure of systematic risk. Furthermore, a robust risk-return trade-off exists on announcement days. Expected variance is positively related to future aggregated quarterly announcement day returns, but not to aggregated non-announcement day returns. We explore the implications of our findings in the context of various asset pricing models. (C) 2014 Elsevier B.V. All rights reserved.