Savor, Pavel; Wilson, Mungo - In: Journal of Financial and Quantitative Analysis 48 (2013) 02, pp. 343-375
Stock market average returns and Sharpe ratios are significantly higher on days when important macroeconomic news about inflation, unemployment, or interest rates is scheduled for announcement. The average announcement-day excess return from 1958 to 2009 is 11.4 basis points (bp) versus 1.1 bp...