Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229172
Authors: 
Born, Benjamin
Dovern, Jonas
Enders, Zeno
Year of Publication: 
2020
Series/Report no.: 
Working Papers of the Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour" No. 29
Abstract: 
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the preceding dispersion in expectations about the indicator value. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model, dispersion results from a perceived weak link between macroeconomic indicators and fundamentals that reduces the informational content of indicators, while higher fundamental uncertainty makes this informational content more valuable.
Subjects: 
expectation dispersion
uncertainty
macroeconomic news
stock market
event study
forecaster disagreement
JEL: 
E44
G12
G14
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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