- Out-of-Stock
Is Macroeconomic Announcement News Priced? [extrait BMI 143]
- Write a review
€50.00
Tax included
Version numérique PDF
We test whether news contained in macroeconomic announcements (MEAs) is priced in the cross-section of stock returns. When including news on a set of widely followed individual macroeconomic fundamentals in the cross-section of stock returns, estimates of their prices of risk are consistent with the explanation that good news on the economy is bad news for stocks during expansions. In contrast, during contractions, good news on the economy is good news for stocks as well. We find, however, that for most macroeconomic news events, their prices of risk are estimated imprecisely due to lack of data.Keywords: Economic Risk Premiums; Macroeconomic Announcements.JEL Codes: G12; G14.Auteurs :De Goeij Peter
Extrait de la revue BMI 143
BMI143-1128994
New
16 other products in the same category:
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- How Risky are Low-Risk Hedge Funds?
- Hedge Funds Managerial Skill Revisited: A Quantile Regression Approach
- Multi-Asset Seasonality and Trend-Following Strategies
- New Insight on the Performance of Equity Long/short Investment Styles
- Editorial
![Editorial [extrait BMI 140]](https://eska-publishing.com/10935-home_default/editorial-extrait-bmi-140-.jpg)
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- Active Portfolio Management with Conditional Tracking Error
- Bank Acquisitiveness and Financial Crisis Vulnerability
- Is Macroeconomic Announcement News Priced?
Focus On
- Basel III and Bank Liquidity Creation
Availability: Out of stock
Sommaire
Articles
- Purchasing an Annuity: Now or Later? The Role of Interest Rates
- Does Corporate Social Performance Really Improve Corporate Financial Performance?
- Does the Market Value the Social Dimension? International Evidence
- When Financial Derivatives can be Applied to the Real Economy – The Case of Exotic Options in Corporate Finance
Availability: Out of stock
Sommaire
Articles
- Relationships between Trading Volume, Stock Returns and Volatility: Evidence from the French Stock Market
- Violating United Nations Global Compact Principles: An Event Study
- Investigating a Fund Return Distribution when the Value of the Fund under Management is Irregularly Observed
- Intergenerational Risk Trading and the Innovative Role of Equity- Wage Swaps