Is the Intrinsic Value of Macroeconomic News Announcements Related to Their Asset Price Impact?

The literature documents a heterogeneous asset price response to macroeconomic news announcements. We explain this variation with a novel measure of the intrinsic value of an announcement - the announcement's ability to nowcast GDP growth, inflation, and the Federal Funds Target Rate - and decompose it into the announcement's relation to fundamentals, a timeliness premium, and a revision premium. We find that differences in intrinsic value can explain a significant fraction of the variation in the announcements' price impact on Treasury bond yields. The announcements' timeliness and relation to fundamentals are the most important characteristics in explaining this variation

MoreLess

Year of publication:	2017
Authors:	Gilbert, Thomas
Other Persons:	Scotti, Chiara (contributor) ; Strasser, Georg (contributor) ; Vega, Clara (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Börsenkurs \| Share price \| Ankündigungseffekt \| Announcement effect

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (58 p)
Series:	FEDS Working Paper ; No. 2015-46
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 8, 2016 erstellt
Classification:	C53 - Forecasting and Other Model Applications ; D83 - Search, Learning, Information and Knowledge ; E37 - Forecasting and Simulation ; E44 - Financial Markets and the Macroeconomy ; E47 - Forecasting and Simulation ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012966952