We construct indices of attention to macroeconomic risks including employment, output growth, and monetary policy. Attention rises around macroeconomic announcements and following changes in fundamentals over quarterly, annual, and business cycle horizons. The effect is asymmetric: Bad news...

We study how the arrival of macro-news affects the stock market's ability to incorporate the information in firm-level earnings announcements. Existing theories suggest that macro and firm-level earnings news are attention substitutes; macro-news announcements crowd out firm-level attention,...

Investors allocate attention between competing activities and signals. Existing theories suggest that macro-news announcements crowd out attention to firm-level news, causing greater market underreaction to firm-level earnings announcements. We find the opposite: the sensitivity of announcement...

Both macroeconomic and firm-specific news contain value-relevant information for corporate bonds. In this article, we show that trading volume in corporate bonds spikes before the release of scheduled macroeconomic news but on the days with and after scheduled firm-specific news. Since investors...