We show that the S&P 500’s instantaneous response to surprises in U.S. macroeconomic announcements depends on the level of long-term stock market volatility. When long-term volatility is high, stock returns are more sensitive to news, and there is a pronounced asymmetry in the response to good...

This paper analyzes the impact of unemployment news on stock markets throughout the business cycle. We show dependence of the reaction to the economic environment by studying the reaction in multiple economic environments that are defined based on both the level and momentum of economic...