The Response of Individual Fx Dealers' Quoting Activity to Macroeconomic News Announcements'

2003 ◽  
Author(s):  
Walid Ben Omrane ◽  
Andréas Heinen
Keyword(s):  
Macroeconomic News ◽  
News Announcements

Market reaction to scheduled and unscheduled news announcements under varying economic conditions

2020 ◽  
Author(s):  
◽  
Parveshsingh Seeballack
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Implied Volatility ◽  
Equity Market ◽  
Economic Conditions ◽  
Time Varying ◽  
Equity Risk Premium ◽  
Macroeconomic News ◽  
Equity Risk ◽  
News Announcements

The unifying theme of this dissertation is the study of the role of macroeconomic news announcements in the context of the equity market. We focus on two important areas of the asset pricing theory, namely price discovery and equity risk premium forecasting. Chapter 2 investigates the time-varying sensitivity of stock returns to scheduled macroeconomic news announcements (MNAs) using high-frequency data. We present new insights into how efficiently stock returns incorporate the informational content of MNAs. We further provide evidence that the stock market response to MNAs is cyclical, and finally we conclude Chapter 2 with an investigation into the factors driving the time-varying sensitivity of stock return to MNAs. Chapter 3 investigates the time-varying sensitivity of stock returns in the context of unscheduled macroeconomic news announcements using high-frequency data. We investigate the speed and persistence in stock returns’ response to unscheduled macro-news announcements, and whether the reactions are dependent on the state of the economy, or general investor sentiment level. Combined, Chapters 2 and 3 provide interesting insights into how equity market participants react to the arrival of scheduled and unscheduled macro-announcements, under varying economic conditions. Chapter 4 focuses on equity risk premium forecasting. We investigate the predictive ability of option-implied volatility variables at monthly horizon, under varying economic conditions. We innovate by constructing monthly announcement and non-announcement option-implied volatility predictors and assess whether the monthly announcement option-implied volatility predictors contain additional information for better out-of-sample predictions of the monthly equity risk premium. Each of the three empirical chapters explores a unique aspect of the asset pricing theory in the context of the U.S. equity market.

scholarly journals Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation

Complexity ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-13
Author(s):  
Min Lu ◽  
Michele Passariello ◽  
Xing Wang
Keyword(s):  
Empirical Investigation ◽  
Credit Default Swap ◽  
Sample Period ◽  
Market Uncertainty ◽  
Macroeconomic News ◽  
Sovereign Credit ◽  
News Announcements ◽  
Credit Default ◽  
Default Swap

We assess the efficiency of the sovereign credit default swap (CDS) market by investigating how sovereign CDS spreads react to macroeconomic news announcements. Contrary to the vast majority of the existing literature, one of our main findings supports the hypothesis that news announcements reduce market uncertainty and, thus, that both better- and worse-than-expected news lower CDS prices during our sample period. In addition, we find that CDS spreads respond differently to the four macroindicators across the three different regions. Our findings might help investors in these areas to interpret the surprises of macronews announcements when making decisions in CDS markets.

Are hedge fund returns affected by media coverage of macroeconomic news?

2019 ◽  
Vol 36 (3) ◽  
pp. 427-439
Author(s):  
Sandip Dutta ◽  
James Thorson
Keyword(s):  
Hedge Funds ◽  
Media Coverage ◽  
Hedge Fund ◽  
Real Sector ◽  
Macroeconomic News ◽  
Content Type ◽  
Fund Managers ◽  
News Announcements ◽  
Hedge Fund Returns ◽  
The Impact

Purpose Extant literature suggests that the difficulty associated with the interpretation of macroeconomic news announcements by the market in general in different economic environments, might be the reason why most studies do not find any significant relationship between real-sector macroeconomic variables and financial asset returns. This paper aims to use a different approach to measure macroeconomic news. The objective is to examine if a different measure of a macroeconomic news variable, constructed from media coverage of the same, significantly affects hedge fund returns. Design/methodology/approach The authors use a news index for unemployment, which is a real-sector variable, constructed from newspaper coverage of unemployment announcements and examine its impact on hedge fund returns. Findings Contrary to the other studies that examine the impact of macroeconomic news on hedge fund returns, the authors find that media coverage of unemployment news announcements significantly affects hedge fund returns. Practical implications Overall, this paper demonstrates that the manner in which the market interprets macroeconomic news announcements in different economic environments is probably a more relevant factor for hedge funds and is more likely to impact hedge fund returns. In conjunction with variables – constructed from media coverage of unemployment news announcements – that factor in the manner of interpretation, it is found that surprises also matter for hedge fund returns. This is an important consideration for hedge fund managers as well. Originality/value To the best of the authors’ knowledge, this is the first study that examines the impact of media coverage of macroeconomic news announcements on hedge fund returns and finds significantly different results with real-sector macro variables.

scholarly journals Intraday Seasonalities and Macroeconomic News Announcements

2009 ◽  
Vol 17 (2) ◽  
pp. 367-390 ◽  
Author(s):  
Kari Harju ◽  
Syed Mujahid Hussain
Keyword(s):  
Macroeconomic News ◽  
News Announcements

A note on the impact of scheduled macroeconomic news announcements on implied volatility

2009 ◽  
Vol 16 (18) ◽  
pp. 1783-1789 ◽  
Author(s):  
Sami Vähämaa
Keyword(s):  
Implied Volatility ◽  
Macroeconomic News ◽  
News Announcements ◽  
The Impact

scholarly journals Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?

2016 ◽  
Vol 2015 (046r1) ◽  
Author(s):  
Thomas Gilbert ◽  
◽  
Chiara Scotti ◽  
Georg Strasser ◽  
Clara Vega ◽  
...  
Keyword(s):  
Intrinsic Value ◽  
Asset Price ◽  
Price Impact ◽  
Macroeconomic News ◽  
News Announcements

scholarly journals Missing Events in Event Studies: Identifying the Effects of Partially Measured News Surprises

2020 ◽  
Vol 110 (12) ◽  
pp. 3871-3912 ◽  
Author(s):  
Refet S. Gürkaynak ◽  
Burçin Kısacıkoğlu ◽  
Jonathan H. Wright
Keyword(s):  
Kalman Filter ◽  
Event Study ◽  
Asset Prices ◽  
Yield Curve ◽  
Event Studies ◽  
Latent Factors ◽  
Macroeconomic News ◽  
News Announcements ◽  
One Step ◽  
Headline News

Macroeconomic news announcements are elaborate and multidimensional. We consider a framework in which jumps in asset prices around announcements reflect both the response to observed surprises in headline numbers and to latent factors, reflecting other news in the release. Non-headline news, for which there are no expectations surveys, is unobservable to the econometrician but nonetheless elicits a market response. We estimate the model by the Kalman filter, which efficiently combines OLS and heteroskedasticity-based event study estimators in one step. With the inclusion of a single latent surprise factor, essentially all yield curve variance in event windows are explained by news. (JEL C51, E43, E52, G12, G14)

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