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Macroeconomic Attention and Announcement Risk Premia

https://doi.org/10.1093/rfs/hhac011
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0165-4101(94)90004-3openalex-snapshot
Market liquidity and volume around earnings announcements
inferredcites →https://doi.org/10.1016/0304-405x(77)90014-9openalex-snapshot
Asset returns and inflation
inferredcites →https://doi.org/10.1016/0304-405x(86)90004-8openalex-snapshot
Stock return variances
inferredcites →https://doi.org/10.1016/0304-405x(87)90026-2openalex-snapshot
Expected stock returns and volatility
inferredcites →https://doi.org/10.1016/0304-405x(89)90049-4openalex-snapshot
Time-varying conditional covariances in tests of asset pricing models
inferredcites →https://doi.org/10.1016/0304-405x(92)90037-xopenalex-snapshot
No news is good news
inferredcites →https://doi.org/10.1016/0304-4076(80)90092-5openalex-snapshot
Long memory relationships and the aggregation of dynamic models
inferredcites →https://doi.org/10.1016/0304-4076(95)01733-xopenalex-snapshot
Varieties of long memory models
inferredcites →https://doi.org/10.1016/j.jeconom.2005.01.004openalex-snapshot
Predicting volatility: getting the most out of return data sampled at different frequencies
inferredcites →https://doi.org/10.1016/j.jet.2010.03.001openalex-snapshot
Portfolio choice, attention allocation, and price comovement
inferredcites →https://doi.org/10.1016/j.jfineco.2005.05.003openalex-snapshot
Investor attention, overconfidence and category learning
inferredcites →https://doi.org/10.1016/j.jfineco.2005.05.008openalex-snapshot
Efficient tests of stock return predictability☆
inferredcites →https://doi.org/10.1016/j.jfineco.2006.09.001openalex-snapshot
Multifrequency news and stock returns☆
inferredcites →https://doi.org/10.1016/j.jfineco.2014.04.005openalex-snapshot
Asset pricing: A tale of two days
inferredcites →https://doi.org/10.1016/j.jfineco.2016.01.032openalex-snapshot
News implied volatility and disaster concerns
inferredcites →https://doi.org/10.1016/j.jfineco.2021.09.015openalex-snapshot
Premium for heightened uncertainty: Explaining pre-announcement market returns
inferredcites →https://doi.org/10.1016/j.jmoneco.2010.10.004openalex-snapshot
A model of unconventional monetary policy
inferredcites →https://doi.org/10.1016/j.jmoneco.2017.09.008openalex-snapshot
Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?
inferredcites →https://doi.org/10.1016/s0304-3932(01)00055-1openalex-snapshot
Monetary policy surprises and interest rates: Evidence from the Fed funds futures market
inferredcites →https://doi.org/10.1016/s0304-3932(03)00029-1openalex-snapshot
Implications of rational inattention
inferredcites →https://doi.org/10.1017/s002210901300015xopenalex-snapshot
How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
inferredcites →https://doi.org/10.1086/250059openalex-snapshot
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
inferredcites →https://doi.org/10.1086/262005openalex-snapshot
Differential Interpretation of Public Signals and Trade in Speculative Markets
inferredcites →https://doi.org/10.1086/296344openalex-snapshot
Economic Forces and the Stock Market
inferredcites →https://doi.org/10.1093/qje/qjw024openalex-snapshot
Measuring Economic Policy Uncertainty*
inferredcites →https://doi.org/10.1093/rfs/hhaa072openalex-snapshot
Demand for Information, Uncertainty, and the Response of U.S. Treasury Securities to News
inferredcites →https://doi.org/10.1093/rfs/hhab080openalex-snapshot
A Model of Two Days: Discrete News and Asset Prices
inferredcites →https://doi.org/10.1093/rfs/hhp008openalex-snapshot
Expected Stock Returns and Variance Risk Premia
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What's Vol Got to Do with It
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Learning and Asset-price Jumps
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What Does Equity Sector Orderflow Tell Us About the Economy?
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Journalists and the Stock Market
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Long-Run Risk and the Persistence of Consumption Shocks
inferredcites →https://doi.org/10.1093/rfs/hhu059openalex-snapshot
Investor Attention and Stock Market Volatility
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Contagious Speculation and a Cure for Cancer: A Nonevent that Made Stock Prices Soar
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Information Markets and the Comovement of Asset Prices
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Information Acquisition and Under-Diversification
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On the Distributional Conditions for a Consumption-Oriented Three Moment CAPM
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb02401.xopenalex-snapshot
Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy
inferredcites →https://doi.org/10.1111/j.1540-6261.1994.tb00083.xopenalex-snapshot
The Impact of Public Information on the Stock Market
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb05206.xopenalex-snapshot
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00670.xopenalex-snapshot
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00742.xopenalex-snapshot
The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00760.xopenalex-snapshot
What Explains the Stock Market's Reaction to Federal Reserve Policy?
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01232.xopenalex-snapshot
Giving Content to Investor Sentiment: The Role of Media in the Stock Market
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01263.xopenalex-snapshot
Rational Inattention and Portfolio Selection
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01462.xopenalex-snapshot
Information Immobility and the Home Bias Puzzle
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01679.xopenalex-snapshot
In Search of Attention
inferredcites →https://doi.org/10.1111/jofi.12027openalex-snapshot
Sentiment During Recessions
inferredcites →https://doi.org/10.1111/jofi.12110openalex-snapshot
Volatility, the Macroeconomy, and Asset Prices
inferredcites →https://doi.org/10.1111/jofi.12179openalex-snapshot
The Media and the Diffusion of Information in Financial Markets: Evidence from Newspaper Strikes
inferredcites →https://doi.org/10.1111/jofi.12196openalex-snapshot
The Pre-FOMC Announcement Drift
inferredcites →https://doi.org/10.1111/jofi.12769openalex-snapshot
Price Discovery without Trading: Evidence from Limit Orders
inferredcites →https://doi.org/10.1111/jofi.12818openalex-snapshot
Stock Returns Over the FOMC Cycle
inferredcites →https://doi.org/10.1111/jofi.12975openalex-snapshot
Information Consumption and Asset Pricing
inferredcites →https://doi.org/10.1111/jofi.13126openalex-snapshot
Long‐Run Risk: Is It There?
inferredcites →https://doi.org/10.1162/00335530360535207openalex-snapshot
Macroeconomic Expectations of Households and Professional Forecasters
inferredcites →https://doi.org/10.1257/000282803321455151openalex-snapshot
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
inferredcites →https://doi.org/10.1257/0002828054825619openalex-snapshot
The Market for News
inferredcites →https://doi.org/10.1257/000282806776157551openalex-snapshot
The New York Times and the Market for Local Newspapers
inferredcites →https://doi.org/10.1257/aer.20171349openalex-snapshot
Long-Run Growth of Financial Data Technology
inferredcites →https://doi.org/10.1257/aer.96.3.577openalex-snapshot
Media Frenzies in Markets for Financial Information
inferredcites →https://doi.org/10.1257/aer.97.2.244openalex-snapshot
Optimal Inattention to the Stock Market
inferredcites →https://doi.org/10.1287/mksc.2017.1060openalex-snapshot
Rising Prices Under Declining Preferences: The Case of the U.S. Print Newspaper Industry
inferredcites →https://doi.org/10.1287/mnsc.2017.2890openalex-snapshot
Good and Bad Variance Premia and Expected Returns
inferredcites →https://doi.org/10.1287/mnsc.2019.3328openalex-snapshot
Dynamic Attention Behavior Under Return Predictability
inferredcites →https://doi.org/10.1561/104.00000004openalex-snapshot
The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
inferredcites →https://doi.org/10.1561/104.00000005openalex-snapshot
An Empirical Evaluation of the Long-Run Risks Model for Asset Prices
inferredcites →https://doi.org/10.2139/ssrn.3964349openalex-snapshot
Information Acquisition and the Pre-Announcement Drift
inferredcites →https://doi.org/10.2307/2297693openalex-snapshot
Uncertainty in the Theory of Renewable Resource Markets
inferredcites →https://doi.org/10.2307/2676230openalex-snapshot
Autoregressive Conditional Skewness
inferredcites →https://doi.org/10.2307/2951614openalex-snapshot
Intertemporal Asset Pricing under Knightian Uncertainty
inferredcites →https://doi.org/10.2307/2988092openalex-snapshot
Time Series Analysis and Forecasting: The Box-Jenkins Approach.
inferredcites →https://doi.org/10.3386/w1462openalex-snapshot
The Persistence of Volatility and Stock Market Fluctuations
inferredcites →https://doi.org/10.3905/joi.3.3.59openalex-snapshot
Performance Measurement in a Downside Risk Framework
inferredcites →https://doi.org/10.3982/ecta11412openalex-snapshot
A Rational Theory of Mutual Funds' Attention Allocation
inferredcites →https://doi.org/10.3982/ecta14607openalex-snapshot
Risk Preferences and the Macroeconomic Announcement Premium

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Macro News, Micro News, and Stock Prices
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Pre-Announcement Risk
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Market Returns and a Tale of Two Attentions
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The Diminishing Impact of Monetary Policy on Asset Prices Around Non-FOMC Macroeconomic Announcements
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Concurrent Earnings Announcements and the Allocation of Investor Attention
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What Can Macro-Active Bond Funds Tell Us About Monetary Policy Changes?
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The Geography of Investor Attention
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Main Street's Pain, Wall Street's Gain
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Political Announcement Return
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Did they just say that? Using AI to extract economic policy uncertainty from cable news networks
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Learning About Fed Policy From Macro Announcements: A Tale of Two FOMC Days
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Noisy FOMC Returns? Information, Price Pressure, and Post-Announcement Reversals
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News Selection and Asset Pricing Implications
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The Value of Corporate Adaptation in Bad Times: Evidence from COVID Crisis Work-from-Home Announcements
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Pricing and Hedging Cybercrime News
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Risk from the Inside Out: Understanding Firm Risk through Employee News Consumption
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Learning, Price Discovery, and Macroeconomic Announcements
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Social Media and the Distortion of Price Revelation
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Inflation and Attention: Evidence from the Market Reaction to Macro Announcements
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Narrative Monetary Policy Uncertainty
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Macroeconomic Announcement Premium
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Investor Attention and Mutual Fund Performance
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Macroeconomic news: A literature survey and methodological guidelines
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Macroeconomic Announcement Premium
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Macroeconomic Attention and Commodity Market Volatility
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Measuring public and private information using quote and trade races
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The Pre-FOMC Drift in Long-Term Treasury Bonds
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Leveling Up Your Green Mojo: The Benefits of Beneficent Investment
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A Battle for Sovereignty:Crypto Market Response to Cbdc Informational Spillover
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Understanding the Excess Bond Premium
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Market Signals from Social Media
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Geopolitical Risk and Stock Returns
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Extrapolation and Rational Inattention: Evidence from Chinese Mutual Funds
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Corporate bond purchase program and corporate debt issuance: Evidence from Japanese corporate bond marketing news
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ChatGPT and Commodity Return
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Does Sentiment Measured Through Language Models Encompass a Broader Expanse of Information From the Options Market?
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More Attention to Macroeconomic Risks and Better Forecasting of Energy Volatility
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The Effects of the Disclosure to Financial Markets: Monetary Policy Announcements, Surprises, and Asset Pricing
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Energy Information and Stock Return Predictability
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Macroeconomic attention and commodity market volatility
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Enhancing Stock Market Forecasting with Lightweight DistilBERT-Powered BiGRU and the Novel SentiEcon Dynamic Market Index
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Macroeconomic attention and stock market volatility: Evidence from dynamic forecast combinations
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Does energy consumption play a key role? Re-evaluating the energy consumption-economic growth nexus from GDP growth rates forecasting
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More is better? The impact of predictor choice on the INE oil futures volatility forecasting
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Information acquisition ahead of monetary policy announcements
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Financial news media and volatility: Is there more to newspapers than news?
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The macroeconomic attention index: Evidence from China
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Retail attention and the FOMC equity premium
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Macroeconomic attention and oil futures volatility prediction
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Global dynamics of bond co-movements: insights from the response to the US bond yields using wavelet methods
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The power of attention: examining the roles of institutional investor and macroeconomic news attention in shaping share liquidity
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Macroeconomic attention and stock market return predictability
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The impact of investor attention to the federal reserve on jumps in China’s stock market
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Do the dynamics of macroeconomic attention drive the yen/dollar exchange market volatility?
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Forecasting US GDP growth rates in a rich environment of macroeconomic data
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Economic policy uncertainty, investor attention and post-earnings announcement drift
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Less is more? New evidence from stock market volatility predictability
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Attention is all you need: An interpretable transformer-based asset allocation approach
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FOMC news and segmented markets
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Asset pricing and FOMC press conferences
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The attention economy of retail trading: Evidence from Robinhood and social media
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Stock return predictability using economic narrative: Evidence from energy sectors
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The causal effect of limited attention to FOMC announcements
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It is not just What you say, but How you say it: Why tonality matters in central bank communication
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Macroeconomic news and price synchronicity
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Spotlight on the neighborhood: The spillover effect of IPOs on retail investor attention
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Macro News and Micro News: Complements or Substitutes?
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Fed information effects: Evidence from the equity term structure
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Main Street’s Pain, Wall Street’s Gain
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How valuable is corporate adaptation to crisis? Estimates from Covid-19 work-from-home announcements
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What can macro-active bond funds tell us about monetary policy change?
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Portfolio diversification during the COVID-19 pandemic: Do vaccinations matter?
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Global mispricing matters
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A quasi-experiment in monetary policy: The impact of unexpected easing on inflation expectations and firm behavior
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Financial risk management innovation in global commodity futures markets: A macroeconomic attention perspective
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Identifying the Effects of Macroeconomic Attention Through Foreign Investor Distraction
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Disagreement and Scheduled Announcements: Explaining the Pre-Announcement Drift
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When does policy-related macroeconomic uncertainty improve information efficiency? Evidence from post-revenue announcement drift in Taiwan
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Kneeling to violent men: Investors and insurrection in Imperial Russia
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Macroeconomic uncertainty and the excess returns of stock
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News about the economy: a literature survey and methodological guidelines
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Cheaper Is Not Better: On the ‘Superior’ Performance of High-Fee Mutual Funds
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Asset Pricing in the Information Age: Employee Expectations and Stock Returns
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The Geography of Investor Attention
inferred← citeshttps://doi.org/10.1093/rfs/hhag020openalex-snapshot
Do Mutual Funds Walk the Talk? Evidence from Fund Risk Disclosure
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Generative AI and Asset Management
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Information Acquisition, Uncertainty Reduction, and Pre-Announcement Premium in China
inferred← citeshttps://doi.org/10.1108/ijmf-10-2021-0542openalex-snapshot
Do analysts cater to investor information demand?
inferred← citeshttps://doi.org/10.1108/rbf-03-2025-0130openalex-snapshot
Public attention to macroeconomic announcements and stock market reaction: evidence from Turkey
inferred← citeshttps://doi.org/10.1111/1475-679x.70020openalex-snapshot
Macroeconomic Information Acquisition Around Earnings Clusters
inferred← citeshttps://doi.org/10.1111/jofi.70009openalex-snapshot
Institutional Investor Attention
inferred← citeshttps://doi.org/10.1145/3770855.3817999openalex-snapshot
Reinforcement Learning with Scenario-Context Rollout in Portfolio Management
inferred← citeshttps://doi.org/10.1146/annurev-financial-090524-120826openalex-snapshot
The Effect of the Federal Reserve on the Stock Market: Magnitudes, Channels, and Shocks
inferred← citeshttps://doi.org/10.1257/aer.20221351openalex-snapshot
Identifying Preference for Early Resolution from Asset Prices
inferred← citeshttps://doi.org/10.1287/mnsc.2022.03240openalex-snapshot
Uncertainty Risk Resolution Before Earnings Announcements
inferred← citeshttps://doi.org/10.1287/mnsc.2023.01294openalex-snapshot
Market Returns and a Tale of Two Types of Attention
inferred← citeshttps://doi.org/10.14505/tpref.v16.2(34).03openalex-snapshot
Decision-Making Theory in Analyzing Investor Behaviour in the Bond Market
inferred← citeshttps://doi.org/10.17016/feds.2025.022openalex-snapshot
How Markets Process Macro News: The Importance of Investor Attention
inferred← citeshttps://doi.org/10.17016/feds.2026.023openalex-snapshot
The Effect of the Federal Reserve on the Stock Market: Magnitudes, Channels and Shocks
inferred← citeshttps://doi.org/10.2139/ssrn.4393416openalex-snapshot
Anomaly Returns and FOMC
inferred← citeshttps://doi.org/10.2139/ssrn.4628516openalex-snapshot
Forecasting Using Text-Based Uncertainty Measures
inferred← citeshttps://doi.org/10.2139/ssrn.4632001openalex-snapshot
The Informativeness of Mandatory R&D Labor Disclosure
inferred← citeshttps://doi.org/10.2139/ssrn.4889895openalex-snapshot
Disagreement and the Macro Announcement Day Returns *
inferred← citeshttps://doi.org/10.2139/ssrn.4898019openalex-snapshot
FOMC on cable TV: Fed speak to households via cable networks
inferred← citeshttps://doi.org/10.2139/ssrn.4986139openalex-snapshot
Public Information and the Securities Lending Market
inferred← citeshttps://doi.org/10.2139/ssrn.5019010openalex-snapshot
The Local Downside Risk Premium
inferred← citeshttps://doi.org/10.2139/ssrn.5061751openalex-snapshot
Impact of Monetary Policy on Municipal Bond ETFs
inferred← citeshttps://doi.org/10.2139/ssrn.5140085openalex-snapshot
Do Central Banks Shape Expectations? Evidence from Households, Firms and Market Participants
inferred← citeshttps://doi.org/10.2139/ssrn.5198836openalex-snapshot
Capital Market Consequences of National Accounting
inferred← citeshttps://doi.org/10.2139/ssrn.5202624openalex-snapshot
Quasi-Experiment in Monetary Policy: The Impact of 2021 Rate Cut on Inflation Expectations and Firm Behavior
inferred← citeshttps://doi.org/10.2139/ssrn.5207418openalex-snapshot
Auctions, Announcements, and Abnormal Returns
inferred← citeshttps://doi.org/10.2139/ssrn.5237922openalex-snapshot
FOMC Announcement Premia in Currency Markets
inferred← citeshttps://doi.org/10.2139/ssrn.5247648openalex-snapshot
Do Central Banks Shape Expectations? Evidence from Households, Firms and Market Participants
inferred← citeshttps://doi.org/10.2139/ssrn.5274372openalex-snapshot
Investor Attention and Spillover Effects of Federal Reserve Monetary Policy Shocks on China's A-Share Market
inferred← citeshttps://doi.org/10.2139/ssrn.5356993openalex-snapshot
Impact of Monetary Policy on Municipal Bond Etfs
inferred← citeshttps://doi.org/10.2139/ssrn.5380343openalex-snapshot
Haven't We Seen This Before? Return Predictions from 200 Years of News
inferred← citeshttps://doi.org/10.2139/ssrn.5463188openalex-snapshot
Learning, Price Discovery, and Macroeconomic Announcements
inferred← citeshttps://doi.org/10.2139/ssrn.5464630openalex-snapshot
Post-FOMC Drift in the Equity Options Market
inferred← citeshttps://doi.org/10.2139/ssrn.5616750openalex-snapshot
Disclosure Without Verification: Environmental Mandates and Stock Price Crash Risk
inferred← citeshttps://doi.org/10.2139/ssrn.5764542openalex-snapshot
Macroeconomic Announcements and the Repricing of Earnings Risk
inferred← citeshttps://doi.org/10.2139/ssrn.5769103openalex-snapshot
The Elusive CAPM: Idiosyncratic News and the Tilt of the Security Market Line
inferred← citeshttps://doi.org/10.2139/ssrn.5851745openalex-snapshot
Dynamic Volatility Connectedness across Commodity Futures: The Role of Macroeconomic Attention
inferred← citeshttps://doi.org/10.2139/ssrn.6109361openalex-snapshot
Spotlight on the Neighborhood: The Spillover Effect of IPOs on Retail Investor Attention
inferred← citeshttps://doi.org/10.2139/ssrn.6205500openalex-snapshot
Macro-Equity Logic Chains in the Stock Market
inferred← citeshttps://doi.org/10.2139/ssrn.6240758openalex-snapshot
Market Narratives vs. Fed Views: Generated Forecasting and Their Dispersion
inferred← citeshttps://doi.org/10.2139/ssrn.6350140openalex-snapshot
When ChatGPT Stops Talking: GenAI-induced Retail Herding and Systematic Risk
inferred← citeshttps://doi.org/10.2139/ssrn.6515242openalex-snapshot
Across the Pond: Effects of Surprises in Federal Reserve Monetary Policy on European Equity Returns in Conventional and Unconventional Regimes
inferred← citeshttps://doi.org/10.2139/ssrn.6891838openalex-snapshot
Machine Learning, Real-time Macroeconomic Risk, and Asset Pricing
inferred← citeshttps://doi.org/10.2139/ssrn.7534938openalex-snapshot
Looking Away from the Market
inferred← citeshttps://doi.org/10.3386/w31923openalex-snapshot
Macroeconomic Announcement Premium
inferred← citeshttps://doi.org/10.3390/math11061371openalex-snapshot
Drivers of Realized Volatility for Emerging Countries with a Focus on South Africa: Fundamentals versus Sentiment
inferred← citeshttps://doi.org/10.3390/risks12050080openalex-snapshot
Trading Activity in the Corporate Bond Market: A SAD Tale of Macro-Announcements and Behavioral Seasonality?
inferred← citeshttps://doi.org/10.34659/eis.2026.97.2.1307openalex-snapshot
Green and social bonds as signals of sustainable commitment: market evidence from an emerging banking system
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