How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements

By Pavel Savor, Mungo Wilson. Journal of Financial and Quantitative Analysis, 2013

359 citations recorded by the source corpus.

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Exchange Rates and Monetary Policy Uncertainty (2017, neutral): “…Jones, Lamont, and Lumsdaine (1998) study realized bond excess returns around macroeconomic news releases about inflation and the labor market; Savor and Wilson (2013) focus on (unconditional) excess equity returns in response to inflation, labor market, and FOMC releases; Beber and Brandt…”
Asset Pricing: A Tale of Two Days (2014, neutral): “Savor and Wilson (2013) nd that in the 19582009 period the average excess daily return on a broad index of US stocks is 11.”
Can Information Be Locked-Up? Informed Trading Ahead of Macro-News Announcements (2016, neutral): “In contrast, we find no evidence of significant price run-ups before the announcements by the DOL and BEA, consistent with Savor and Wilson (2013, 2014).”
Risk Preferences and the Macroeconomic Announcement Premium (2018, background): “Such conditions may bear interesting connections with Skiadas (2013), who provides a continuous-time analysis of certainty equivalent functionals for non-expected utilities. Another idea worth careful exploration is to evaluate whether asset market frictions related to liquidity or slow-moving capit”
Do stocks outperform Treasury bills? (2018, background): “Savor and Wilson (2013) show that approximately sixty percent of the cumulative stock market excess return accrues on the relatively few days where macroeconomic announcements are made.”