Review of Financial Studies Vol. 35 No. 11 2022

Macroeconomic Attention and Announcement Risk Premia

Adlai Fisher¹; Charles Martineau²; Jinfei Sheng³

¹ University of British Columbia , Canada · ² University of Toronto , Canada · ³ University of California , Irvine, USA

Abstract

We construct macroeconomic attention indexes (MAI), which are new measures of attention to different macroeconomic risks, including unemployment and monetary policy. Individual MAI tend to increase around related announcements and following changes in related fundamentals. Further, bad news raises attention more than good news. For unemployment and FOMC, attention predicts announcement risk premiums and implied volatility changes with large economic magnitudes. Our findings support theories of endogenous attention and announcement risk premiums, while demonstrating future research directions, including that announcements can raise new concerns. Macroeconomic announcements are important not only for contents and timing but also for attention.

DOI

10.1093/rfs/hhac011

Volume

35

Issue

11

Pages

5057-5093

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

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