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Disagreement and the Macro Announcement Day Returns *

https://doi.org/10.2139/ssrn.4889895
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Outgoing claims: the papers this work cites, builds on, or argues with.

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On estimating the expected return on the market
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Expectations data in asset pricing
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Asset pricing with heterogeneous beliefs
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Option trading: Information or differences of opinion?
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.2014.06.007openalex-snapshot
Disagreement and asset prices
inferredcites →https://doi.org/10.1016/j.jfineco.2020.10.003openalex-snapshot
Extrapolative Beliefs in the Cross-Section: What Can We Learn from the Crowds?
inferredcites →https://doi.org/10.1016/j.jfineco.2021.07.002openalex-snapshot
The cross section of the monetary policy announcement premium
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.jfineco.2022.04.005openalex-snapshot
Recovering the FOMC Risk Premium
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/j.jmoneco.2018.10.003openalex-snapshot
Disagreement beta
inferredcites →https://doi.org/10.1016/j.jmoneco.2020.04.010openalex-snapshot
Do survey expectations of stock returns reflect risk adjustments?
inferredcites →https://doi.org/10.1016/j.jmoneco.2020.09.003openalex-snapshot
Measuring the effects of federal reserve forward guidance and asset purchases on financial markets
inferredcites →https://doi.org/10.1016/s0165-1889(98)00064-5openalex-snapshot
A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
inferredcites →https://doi.org/10.1016/s0304-3932(00)00012-xopenalex-snapshot
Risk-sensitive real business cycles
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/10.1017/s0022109018001357openalex-snapshot
Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences
inferredcites →https://doi.org/10.1086/261750openalex-snapshot
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis
inferredcites →https://doi.org/10.1086/262005openalex-snapshot
Differential Interpretation of Public Signals and Trade in Speculative Markets
inferredcites →https://doi.org/10.1093/qje/qjae021openalex-snapshot
Perceptions About Monetary Policy
inferredcites →https://doi.org/10.1093/rapstu/rav008openalex-snapshot
Macro Disagreement and the Cross-Section of Stock Returns
inferredcites →https://doi.org/10.1093/rfs/5.3.473openalex-snapshot
Differences of Opinion Make a Horse Race
inferredcites →https://doi.org/10.1093/rfs/hhab078openalex-snapshot
Disagreement in the Equity Options Market and Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhac011openalex-snapshot
Macroeconomic Attention and Announcement Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhi026openalex-snapshot
Do Heterogeneous Beliefs Matter for Asset Pricing?
inferredcites →https://doi.org/10.1093/rfs/hhl025openalex-snapshot
Option Market Activity
inferredcites →https://doi.org/10.1093/rfs/hht082openalex-snapshot
Expectations of Returns and Expected Returns
inferredcites →https://doi.org/10.1109/9.384242openalex-snapshot
Discounted linear exponential quadratic Gaussian control
inferredcites →https://doi.org/10.1111/0022-1082.00323openalex-snapshot
Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation
inferredcites →https://doi.org/10.1111/j.1368-423x.2008.00275.xopenalex-snapshot
Realized kernels in practice: trades and quotes
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.01006.xopenalex-snapshot
Model Uncertainty and Option Markets with Heterogeneous Beliefs
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01278.xopenalex-snapshot
Analyst Disagreement, Mispricing, and Liquidity*
inferredcites →https://doi.org/10.1111/jofi.12196openalex-snapshot
The Pre-FOMC Announcement Drift
inferredcites →https://doi.org/10.1111/jofi.12618openalex-snapshot
Belief Dispersion in the Stock Market
inferredcites →https://doi.org/10.1111/jofi.12818openalex-snapshot
Stock Returns Over the FOMC Cycle
inferredcites →https://doi.org/10.1111/jofi.13016openalex-snapshot
Subjective Cash Flow and Discount Rate Expectations
inferredcites →https://doi.org/10.1111/jofi.13276openalex-snapshot
Interest Rate Skewness and Biased Beliefs
inferredcites →https://doi.org/10.1257/aer.20200243openalex-snapshot
Five Facts about Beliefs and Portfolios
inferredcites →https://doi.org/10.1257/aer.20201220openalex-snapshot
An Alternative Explanation for the “Fed Information Effect”
inferredcites →https://doi.org/10.1257/jep.21.2.109openalex-snapshot
Disagreement and the Stock Market
inferredcites →https://doi.org/10.1257/mac.5.3.35openalex-snapshot
Crises and Recoveries in an Empirical Model of Consumption Disasters
inferredcites →https://doi.org/10.1287/mnsc.2013.1815openalex-snapshot
Economic Uncertainty, Disagreement, and Credit Markets
inferredcites →https://doi.org/10.2139/ssrn.3961096openalex-snapshot
Information-Driven Volatility
inferredcites →https://doi.org/10.2139/ssrn.3964349openalex-snapshot
Information Acquisition and the Pre-Announcement Drift
inferredcites →https://doi.org/10.2139/ssrn.4467984openalex-snapshot
Agreed and Disagreed Uncertainty
inferredcites →https://doi.org/10.3386/w16143openalex-snapshot
Uncertainty and Economic Activity: Evidence from Business Survey Data
inferredcites →https://doi.org/10.3386/w24432openalex-snapshot
The Macroeconomic Announcement Premium
inferredcites →https://doi.org/10.3386/w29803openalex-snapshot
Dynamics of Subjective Risk Premia
inferredcites →https://doi.org/10.3982/ecta14607openalex-snapshot
Risk Preferences and the Macroeconomic Announcement Premium
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