Conferences - Seminars
18JAN
10:30-12:00
Unil, Extranef building, room 126
The macroeconomics of announcement premium
Empirically, a large fraction of the market equity premium is realized immediately upon macroeconomic announcements, such as the FOMC announcements and the unemployment report. In contrast, macroeconomic quantities respond slowly to these announcements. We show that the joint behavior of the reactions of capital markets and macroeconomic quantities with respect to macro announcements imposes strong ...
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By Hengjie AI, Carlson School of Management, University of Minnesota