Is the Intrinsic Value of Macroeconomic News Announcements Related to Their Asset Price Impact?

The literature documents a heterogeneous asset price response to macroeconomic news announcements. We explain this variation with a novel measure of the intrinsic value of an announcement - the announcement's ability to nowcast GDP growth, inflation, and the Federal Funds Target Rate - and decompose it into the announcement's relation to fundamentals, a timeliness premium, and a revision premium. We find that differences in intrinsic value can explain a significant fraction of the variation in the announcements' price impact on Treasury bond yields. The announcements' timeliness and relation to fundamentals are the most important characteristics in explaining this variation

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Year of publication:	2017
Authors:	Gilbert, Thomas
Other Persons:	Scotti, Chiara (contributor) ; Strasser, Georg (contributor) ; Vega, Clara (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Börsenkurs \| Share price \| Ankündigungseffekt \| Announcement effect

Extent:	1 Online-Ressource (58 p)
Series:	FEDS Working Paper ; No. 2015-46
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 8, 2016 erstellt
Classification:	C53 - Forecasting and Other Model Applications ; D83 - Search, Learning, Information and Knowledge ; E37 - Forecasting and Simulation ; E44 - Financial Markets and the Macroeconomy ; E47 - Forecasting and Simulation ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012966952