A large literature measures the effects of monetary policy shocks on asset prices. We promote a data-driven approach to designating monetary surprises via econometric tests for asset price jumps. Applying these tests, we identify the specific Fed communications that generate surprises....

We compare the stock return forecasting performance of alternative payout yields. The net payout yield produces more accurate forecasts relative to alternatives, including the traditional dividend yield. This remains true even after excluding several years during the Great Depression when...

We characterize jump dynamics in stock market returns using a novel series of intraday prices covering over 80 years. Jump dynamics vary substantially over time. Trends in jump activity relate to secular shifts in the nature of news. Unscheduled news drives jump activity in early decades,...