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The Cross Section of Monetary Policy Announcement Premium

Ai, Hengjie - 2020

Using the expected option-implied variance reduction to measure the sensitivity of stock returns to monetary policy announcement surprises, this paper shows that monetary policy announcements require significant risk compensation in the cross section of equity returns. We present evidence that...

Persistent link: https://www.econbiz.de/10012850077

Stock Return Skewness and the Cross Section of Monetary Policy Announcement Premiums

Chue, Timothy K.; Li, Gang; Chen, Sipeng - 2023

We find that the FOMC-announcement-day return premium earned by a firm is positively related to the increase in its ex ante, option-implied skewness prior to the announcement. This finding is consistent with: (1) the existence of an announcement-day Fed put that is partially anticipated by the...

Persistent link: https://www.econbiz.de/10014350063

Risks in macroeconomic fundamentals and excess bond returns predictability

De Rezende, Rafael B. - 2015 - February 2015

unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

Persistent link: https://www.econbiz.de/10010478516

How news affects sectoral stock prices through earnings expectations and risk premia

Hvid, Anna Kirstine; Kristiansen, Kristian Loft - 2020

A growing body of literature analyses the impact of news on companies' equity prices. We add to this literature by showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices into components of expected future earnings and equity...

Persistent link: https://www.econbiz.de/10012316963

Unemployment fluctuations and the predictability of currency returns

Nucera, Federico - 2015 - This version: August 2015

We investigate if unemployment fluctuations generate predictability in the cross-section of currency excess returns. To … assess the predictability exerted by unemployment fluctuations, we sort currencies according to past growth in the … unemployment rate. We find that an investment strategy which shorts currencies that experienced high growth in the unemployment …

Persistent link: https://www.econbiz.de/10015408806

A tale of four tails : inflation, the policy rate, longer-term rates, and stock prices

Anene, Dominic; D'Amico, Stefania - 2017

We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates, and equity prices in the U.S. Their simultaneous changes enable us to distinguish between a systematic and "exogenous" response to monetary-policy news. And, those tail...

Persistent link: https://www.econbiz.de/10011774934

The response of stock market volatility to futures-based measures of monetary policy shocks

Gospodinov, Nikolaj; Jamali, Ibrahim - 2014

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to monetary policy shocks. Although the increase in the...

Persistent link: https://www.econbiz.de/10010395968

The term structure of expectations and bond yields

Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel - 2016

How much do term premiums matter for explaining the dynamics of the term structure of interest rates? A lot. We characterize the expected path of nominal and real short-rates as well as inflation using the universe of U.S. surveys of professional forecasters covering more than 500 survey-horizon...

Persistent link: https://www.econbiz.de/10011477349

Why does the yield-curve slope predict recessions?

Benzoni, Luca; Chyruk, Olena; Kelley, David - 2018

Why is an inverted yield-curve slope such a powerful predictor of future recessions? We show that a decomposition of the yield curve slope into its expectations and risk premia components helps disentangle the channels that connect fluctuations in Treasury rates and the future state of the...

Persistent link: https://www.econbiz.de/10011924714

Does the Macro Matter in Macro-Finance Term Structure Models?

Tsang, Kwok Ping - 2013

In a simple macro-finance term structure (MFTS) model with macroeconomic variables as risk factors, it matters little whether an econometrician has a strong prior on a particular macroeconomic model. I show in a Monte Carlo experiment that econometricians with drastically different priors will...

Persistent link: https://www.econbiz.de/10013087477