Macroeconomic Announcements and the News That Matters Most to Investors

• 成果类型: Article; Early Access
• 署名作者: Badidi, Samia; Boons, Martijn; Frehen, Rik
• 署名单位: Tilburg University; Universidade Nova de Lisboa
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2024.07650
• 发表日期: 2026
• 关键词: Macroeconomic announcements; news; Price impact; discount rates versus cash flows; risk premia

摘要

Studying a large set of macroeconomic announcements (MAs) and disentangling their news content, we show that a portfolio of stocks that pays off around MAs that negatively impact the aggregate stock market commands a positive risk premium. Adding this portfolio to a position in the aggregate market substantially increases Sharpe ratio while reducing MA risk exposure, which implies a rejection of the CAPM. Using state-ofthe-art measures of cash flow and discount rate news and consistent with prominent intertemporal CAPM specifications, we argue that the portfolio's risk premium compensates investors for large reinvestment risk. Thus, we conclude that the MA news that matters most to investors is discount rate news and not cash flows news.