Dissecting macroeconomic news

Avino, Davide E., Stancu, Andrei and Wese Simen, Chardin (2019) Dissecting macroeconomic news. Journal of Money, Credit and Banking. ISSN 0022-2879 (In Press)

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Abstract

How do macroeconomic events affect the term structure of equity returns? We document that the term structure of equity excess returns is upward sloping on federal fund rate announcement days but not on non-announcement days. The dividend strips respond significantly to macroeconomic news and the strength of the announcement response declines with the maturity of the dividend asset. Our analysis reveals that nonfarm payrolls surprises have the largest impact on the term structure of dividend strips. The cash flow and discount rate channels both contribute to the response of the dividend asset to macroeconomic news.

Item Type: Article
Faculty \ School: Faculty of Social Sciences > Norwich Business School
Depositing User: LivePure Connector
Date Deposited: 13 Aug 2020 23:58
Last Modified: 12 Sep 2020 00:24
URI: https://ueaeprints.uea.ac.uk/id/eprint/76429
DOI:

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