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Macroeconomic Announcement Premium

https://doi.org/10.2139/ssrn.4631228
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Consumption and real exchange rates in dynamic economies with non-traded goods
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Forward and spot exchange rates
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The equity risk premium a solution
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The effect of changes in the federal funds rate target on market interest rates in the 1970s
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An intertemporal asset pricing model with stochastic consumption and investment opportunities
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Modeling the term structure of interest rates under non-separable utility and durability of goods
inferredcites →https://doi.org/10.1016/0304-405x(86)90012-7openalex-extracted
The equity premium and the concentration of aggregate shocks
inferredcites →https://doi.org/10.1016/0304-4068(89)90018-9openalex-extracted
Maxmin expected utility with non-unique prior
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Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
inferredcites →https://doi.org/10.1016/b978-0-444-53238-1.00011-9openalex-extracted
Financial Intermediation and Credit Policy in Business Cycle Analysis
inferredcites →https://doi.org/10.1016/j.frl.2020.101781openalex-extracted
The Disappearing Pre-FOMC Announcement Drift
inferredcites →https://doi.org/10.1016/j.jet.2005.06.006openalex-extracted
Robust estimation and control under commitment
inferredcites →https://doi.org/10.1016/j.jet.2005.12.011openalex-extracted
Dynamic variational preferences
inferredcites →https://doi.org/10.1016/j.jet.2006.06.010openalex-extracted
Recursive robust estimation and control without commitment
inferredcites →https://doi.org/10.1016/j.jet.2008.10.007openalex-extracted
Recursive smooth ambiguity preferences
inferredcites →https://doi.org/10.1016/j.jet.2018.07.008openalex-extracted
Pricing long-lived securities in dynamic endowment economies
inferredcites →https://doi.org/10.1016/j.jfineco.2008.04.009openalex-extracted
Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements☆
inferredcites →https://doi.org/10.1016/j.jfineco.2012.10.006openalex-extracted
The Earnings Announcement Premium Around the Globe
inferredcites →https://doi.org/10.1016/j.jfineco.2013.12.005openalex-extracted
Countercyclical currency risk premia
inferredcites →https://doi.org/10.1016/j.jfineco.2014.04.005openalex-extracted
Asset pricing: A tale of two days
inferredcites →https://doi.org/10.1016/j.jfineco.2014.06.009openalex-extracted
News-driven return reversals: Liquidity provision ahead of earnings announcements
inferredcites →https://doi.org/10.1016/j.jfineco.2014.11.001openalex-extracted
Monetary Policy and Long-Term Real Rates
inferredcites →https://doi.org/10.1016/j.jfineco.2015.09.012openalex-extracted
Can information be locked up? Informed trading ahead of macro-news announcements
inferredcites →https://doi.org/10.1016/j.jfineco.2019.06.012openalex-extracted
Show Me the Money: The Monetary Policy Risk Premium
inferredcites →https://doi.org/10.1016/j.jfineco.2020.06.016openalex-extracted
Time-Varying Demand for Lottery: Speculation Ahead of Earnings Announcements
inferredcites →https://doi.org/10.1016/j.jfineco.2020.06.017openalex-extracted
Financial intermediation and capital reallocation
inferredcites →https://doi.org/10.1016/j.jfineco.2021.06.008openalex-extracted
Common shocks in stocks and bonds
inferredcites →https://doi.org/10.1016/j.jfineco.2021.07.002openalex-extracted
The cross section of the monetary policy announcement premium
inferredcites →https://doi.org/10.1016/j.jfineco.2021.09.015openalex-extracted
Premium for heightened uncertainty: Explaining pre-announcement market returns
inferredcites →https://doi.org/10.1016/j.jfineco.2021.12.004openalex-extracted
Real-time price discovery via verbal communication: Method and application to Fedspeak
inferredcites →https://doi.org/10.1016/j.jfineco.2021.12.006openalex-extracted
Price revelation from insider trading: Evidence from hacked earnings news
inferredcites →https://doi.org/10.1016/j.jfineco.2022.04.005openalex-extracted
Recovering the FOMC Risk Premium
inferredcites →https://doi.org/10.1016/j.jfineco.2024.103790openalex-extracted
Fearing the Fed: How wall street reads main street
inferredcites →https://doi.org/10.1016/j.jinteco.2019.01.012openalex-extracted
Non-monetary news in central bank communication
inferredcites →https://doi.org/10.1016/j.jmoneco.2003.11.001openalex-extracted
Identifying VARS based on high frequency futures data
inferredcites →https://doi.org/10.1016/j.jmoneco.2005.02.004openalex-extracted
International risk sharing is better than you think, or exchange rates are too smooth
inferredcites →https://doi.org/10.1016/j.jmoneco.2012.04.002openalex-extracted
Ambiguity Shifts and the 2007-2008 Financial Crisis
inferredcites →https://doi.org/10.1016/j.jmoneco.2020.09.003openalex-extracted
Measuring the effects of federal reserve forward guidance and asset purchases on financial markets
inferredcites →https://doi.org/10.1016/s0304-3932(01)00055-1openalex-extracted
Monetary policy surprises and interest rates: Evidence from the Fed funds futures market
inferredcites →https://doi.org/10.1017/s002210901300015xopenalex-extracted
How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
inferredcites →https://doi.org/10.1017/s0022109018001357openalex-extracted
Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences
inferredcites →https://doi.org/10.1017/s1365100517000499openalex-extracted
WOODFORD'S APPROACH TO ROBUST POLICY ANALYSIS IN A LINEAR-QUADRATIC FRAMEWORK
inferredcites →https://doi.org/10.1086/250059openalex-extracted
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
inferredcites →https://doi.org/10.1086/261693openalex-extracted
Habit Formation: A Resolution of the Equity Premium Puzzle
inferredcites →https://doi.org/10.1086/262023openalex-extracted
Asset Pricing with Heterogeneous Consumers
inferredcites →https://doi.org/10.1086/588200openalex-extracted
Consumption Strikes Back? Measuring Long‐Run Risk
inferredcites →https://doi.org/10.1086/659238openalex-extracted
Risks for the Long Run and the Real Exchange Rate
inferredcites →https://doi.org/10.1086/718668openalex-extracted
Climate Change Uncertainty Spillover in the Macroeconomy
inferredcites →https://doi.org/10.1093/qje/qjs001openalex-extracted
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
inferredcites →https://doi.org/10.1093/qje/qjy004openalex-extracted
High Frequency Identification of Monetary Non-Neutrality: The Information Effect
inferredcites →https://doi.org/10.1093/restud/rdad013openalex-extracted
The Lost Capital Asset Pricing Model
inferredcites →https://doi.org/10.1093/restud/rdr036openalex-extracted
A Model of Capital and Crises
inferredcites →https://doi.org/10.1093/restud/rdy005openalex-extracted
Optimal Fiscal Policy with Recursive Preferences
inferredcites →https://doi.org/10.1093/rfs/hhaa063openalex-extracted
The Collateralizability Premium
inferredcites →https://doi.org/10.1093/rfs/hhab080openalex-extracted
A Model of Two Days: Discrete News and Asset Prices
inferredcites →https://doi.org/10.1093/rfs/hhac011openalex-extracted
Macroeconomic Attention and Announcement Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhad038openalex-extracted
Measuring the Expected Effects of the Global Tax Reform
inferredcites →https://doi.org/10.1093/rfs/hhq033openalex-extracted
Long-Run Risk through Consumption Smoothing
inferredcites →https://doi.org/10.1093/rfs/hhq085openalex-extracted
What's Vol Got to Do with It
inferredcites →https://doi.org/10.1093/rfs/hhr068openalex-extracted
Common Risk Factors in Currency Markets
inferredcites →https://doi.org/10.1093/rfs/hhs121openalex-extracted
Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital
inferredcites →https://doi.org/10.1093/rfs/hhv074openalex-extracted
Rare Booms and Disasters in a Multisector Endowment Economy
inferredcites →https://doi.org/10.1093/rfs/hhz144openalex-extracted
Pricing Uncertainty Induced by Climate Change
inferredcites →https://doi.org/10.1093/rof/rfac042openalex-extracted
Information Acquisition, Uncertainty Reduction, and Pre-Announcement Premium in China
inferredcites →https://doi.org/10.1093/rof/rfz015openalex-extracted
One Central Bank to Rule Them All
inferredcites →https://doi.org/10.1111/1475-679x.12189openalex-extracted
Asymmetric Trading Costs Prior to Earnings Announcements: Implications for Price Discovery and Returns
inferredcites →https://doi.org/10.1111/fima.12407openalex-extracted
Asset pricing with a financial sector
inferredcites →https://doi.org/10.1111/j.1468-0262.2005.00640.xopenalex-extracted
A Smooth Model of Decision Making under Ambiguity
inferredcites →https://doi.org/10.1111/j.1468-0262.2006.00716.xopenalex-extracted
Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
inferredcites →https://doi.org/10.1111/j.1475-679x.2008.00318.xopenalex-extracted
Do Managers Withhold Bad News?
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00670.xopenalex-extracted
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00760.xopenalex-extracted
What Explains the Stock Market's Reaction to Federal Reserve Policy?
inferredcites →https://doi.org/10.1111/jofi.12018openalex-extracted
Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
inferredcites →https://doi.org/10.1111/jofi.12068openalex-extracted
Uncertainty, Time‐Varying Fear, and Asset Prices
inferredcites →https://doi.org/10.1111/jofi.12088openalex-extracted
International Asset Pricing with Recursive Preferences
inferredcites →https://doi.org/10.1111/jofi.12196openalex-extracted
The Pre-FOMC Announcement Drift
inferredcites →https://doi.org/10.1111/jofi.12361openalex-extracted
Earnings Announcements and Systematic Risk
inferredcites →https://doi.org/10.1111/jofi.12471openalex-extracted
Asset Pricing with Countercyclical Household Consumption Risk
inferredcites →https://doi.org/10.1111/jofi.12499openalex-extracted
Exchange Rates and Monetary Policy Uncertainty
inferredcites →https://doi.org/10.1111/jofi.12705openalex-extracted
Do Rare Events Explain CDX Tranche Spreads?
inferredcites →https://doi.org/10.1111/jofi.12818openalex-extracted
Stock Returns Over the FOMC Cycle
inferredcites →https://doi.org/10.1111/jofi.12975openalex-extracted
Information Consumption and Asset Pricing
inferredcites →https://doi.org/10.1111/jofi.13107openalex-extracted
Monetary Policy and Asset Valuation
inferredcites →https://doi.org/10.1111/jofi.13163openalex-extracted
Stock Market's Assessment of Monetary Policy Transmission: The Cash Flow Effect
inferredcites →https://doi.org/10.1142/s2010139219500034openalex-extracted
Ambiguity Aversion and the Variance Premium
inferredcites →https://doi.org/10.1162/qjec.121.3.823openalex-extracted
Rare Disasters and Asset Markets in the Twentieth Century*
inferredcites →https://doi.org/10.1257/000282802320189069openalex-extracted
The Fed and Interest Rates—A High-Frequency Identification
inferredcites →https://doi.org/10.1257/aer.100.1.274openalex-extracted
Robustly Optimal Monetary Policy with Near-Rational Expectations
inferredcites →https://doi.org/10.1257/aer.101.7.3477openalex-extracted
The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply
inferredcites →https://doi.org/10.1257/aer.103.2.732openalex-extracted
Intermediary Asset Pricing
inferredcites →https://doi.org/10.1257/aer.20141123openalex-extracted
BKK the EZ Way: International Long-Run Growth News and Capital Flows
inferredcites →https://doi.org/10.1257/aer.20201220openalex-extracted
An Alternative Explanation for the “Fed Information Effect”
inferredcites →https://doi.org/10.1257/aer.90.3.429openalex-extracted
Federal Reserve Information and the Behavior of Interest Rates
inferredcites →https://doi.org/10.1257/aer.91.1.149openalex-extracted
Habit Persistence, Asset Returns, and the Business Cycle
inferredcites →https://doi.org/10.1257/aer.97.1.89openalex-extracted
The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk
inferredcites →https://doi.org/10.1257/jep.32.3.59openalex-extracted
Identification in Macroeconomics
inferredcites →https://doi.org/10.1257/mac.20140337openalex-extracted
Sovereign Default Risk and Uncertainty Premia
inferredcites →https://doi.org/10.1257/mac.20180090openalex-extracted
Deconstructing Monetary Policy Surprises: The Role of Information Shocks
inferredcites →https://doi.org/10.1257/mac.4.3.33openalex-extracted
Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle
inferredcites →https://doi.org/10.1257/pol.6.1.137openalex-extracted
Watch Your Step: Optimal Policy in a Tipping Climate
inferredcites →https://doi.org/10.1287/mnsc.2017.2978openalex-extracted
Option Prices in a Model with Stochastic Disaster Risk
inferredcites →https://doi.org/10.1287/mnsc.2024.06960openalex-extracted
Is There a Macro-Announcement Premium?
inferredcites →https://doi.org/10.1353/eca.2012.0004openalex-extracted
Macroeconomic Effects of Federal Reserve Forward Guidance
inferredcites →https://doi.org/10.1561/104.00000004openalex-extracted
The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
inferredcites →https://doi.org/10.17016/feds.2004.66openalex-extracted
Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements
inferredcites →https://doi.org/10.21034/sr.280openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.1361813openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2023765openalex-extracted
Ambiguity Aversion and Variance Premium
inferredcites →https://doi.org/10.2139/ssrn.2471342openalex-extracted
Climbing and Falling Off the Ladder: Asset Pricing Implications of Labor Market Event Risk
inferredcites →https://doi.org/10.2139/ssrn.2710469openalex-extracted
Sovereign Default Risk and Uncertainty Premia
inferredcites →https://doi.org/10.2139/ssrn.3014299openalex-extracted
Explaining the Pre-Announcement Drift
inferredcites →https://doi.org/10.2139/ssrn.3134546openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.3469703openalex-extracted
More Than 100% of the Equity Premium: How Much Is Really Earned on Macroeconomic Announcement Days?
inferredcites →https://doi.org/10.2139/ssrn.3685452openalex-extracted
Famous Firms, Earnings Clusters, and the Stock Market
inferredcites →https://doi.org/10.2139/ssrn.3937343openalex-extracted
Sources of Return Predictability
inferredcites →https://doi.org/10.2139/ssrn.3961096openalex-extracted
Information-Driven Volatility
inferredcites →https://doi.org/10.2139/ssrn.4016112openalex-extracted
Political Announcement Return
inferredcites →https://doi.org/10.2139/ssrn.4240296openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.4304240openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.4346526openalex-extracted
inferredcites →https://doi.org/10.2307/1884324openalex-extracted
Risk, Ambiguity, and the Savage Axioms
inferredcites →https://doi.org/10.2307/1913656openalex-extracted
Temporal Resolution of Uncertainty and Dynamic Choice Theory
inferredcites →https://doi.org/10.2307/1913778openalex-extracted
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
inferredcites →https://doi.org/10.2307/1913837openalex-extracted
Asset Prices in an Exchange Economy
inferredcites →https://doi.org/10.2307/2490070openalex-extracted
The Information Content of Annual Earnings Announcements
inferredcites →https://doi.org/10.2307/2938223openalex-extracted
A Theory of Disappointment Aversion
inferredcites →https://doi.org/10.2308/accr-50758openalex-extracted
Non-Diversifiable Volatility Risk and Risk Premiums at Earnings Announcements
inferredcites →https://doi.org/10.2308/tar-9605070402openalex-extracted
Security Returns Around Earnings Announcements.
inferredcites →https://doi.org/10.3386/w13090openalex-extracted
The Earnings Announcement Premium and Trading Volume
inferredcites →https://doi.org/10.3386/w22529openalex-extracted
Price of Long-Run Temperature Shifts in Capital Markets
inferredcites →https://doi.org/10.3386/w29915openalex-extracted
Modeling Uncertainty as Ambiguity: a Review
inferredcites →https://doi.org/10.3386/w30072openalex-extracted
A Structural Approach to High-Frequency Event Studies: The Fed and Markets as Case History
inferredcites →https://doi.org/10.3386/w31087openalex-extracted
Identifying Preference for Early Resolution from Asset Prices
inferredcites →https://doi.org/10.3386/w3279openalex-extracted
Asset Prices under Habit Formation and Catching up with the Joneses
inferredcites →https://doi.org/10.3982/ecta13127openalex-extracted
Robust Contracts in Continuous Time
inferredcites →https://doi.org/10.3982/ecta14607openalex-extracted
Risk Preferences and the Macroeconomic Announcement Premium
inferredcites →https://doi.org/10.3982/ecta15142openalex-extracted
Asset Pricing With Endogenously Uninsurable Tail Risk
inferredcites →https://doi.org/10.3982/ecta8155openalex-extracted
Axiomatic Foundations of Multiplier Preferences
inferredcites →https://doi.org/10.1017/s0022109025101828openalex-snapshot
Tail Risk Around FOMC Announcements
inferredcites →https://doi.org/10.1093/rfs/hhs073openalex-snapshot
Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability
inferredcites →https://doi.org/10.1111/1467-8551.12755openalex-snapshot
Flight to Lottery Ahead of FOMC Announcements: Institutional Investors or Retail Investors?
inferredcites →https://doi.org/10.1287/mnsc.2022.4635openalex-snapshot
Climate Change and Uncertainty: An Asset Pricing Perspective
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