This paper examines whether the negative association between aggregate earnings and returns is explained by the monetary policy news in aggregate earnings. Using Federal funds futures data to construct a measure of policy news, we find that aggregate earnings convey information about the Fed's...

Central bank informal communications became more frequent and acquired more mass media attention after the global financial crisis. Do investors react to the content (e.g., future expansionary or restrictive policy) of informal central bank communications? And especially, do investors have a...

We propose a novel measure of intraday investor attention by using messages sent on Twitter around European Central Bank announcements. We then analyze the market impact of the press conferences conditional on the level of investor attention prior to the announcements. We find that absolute...