Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/306766 
Year of Publication: 
2024
Series/Report no.: 
IES Working Paper No. 38/2024
Publisher: 
Charles University in Prague, Institute of Economic Studies (IES), Prague
Abstract: 
We analyze the announcement risk premia on the US market between September 1987 and March 2023 and find that the market index exhibits average excess returns of 8.3 bps for macroeconomic announcement days. This strongly contrasts with 1.4 bps returns for non-announcement days. We further measure the individual stocks' sensitivities to macroeconomic data announcements over various lookback periods and show that stocks in the high-sensitivity portfolios offer investors significantly higher returns than stocks in the low-sensitivity portfolios. The average returns on the difference portfolios amount to 18 bps per month for the 60-month sensitivities. The Fama-MacBeth regression coefficients for the announcement sensitivity are positive and statistically significant across all lookback periods.
Subjects: 
Asset pricing
macroeconomic data announcements
risk premia
JEL: 
C58
G12
G14
Document Type: 
Working Paper

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