Turn-of-the-month and Intramonth Anomalies and U.S. Macroeconomic News Announcements on the Thinly Traded Finnish Stock Market

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.

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Stock Market Response to Unexpected Macroeconomic News: The Australian Evidence

SSRN Electronic Journal ◽

10.2139/ssrn.884889 ◽

1992 ◽

Author(s):

Mehdi Sadeghi

Keyword(s):

Stock Market ◽

Market Response ◽

Macroeconomic News

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

Complexity ◽

10.1155/2021/5568698 ◽

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.

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