Earnings announcements present a clear risk to investors and, under rational asset pricing theory, such risk should be consistently priced in stocks. However, we find that stocks with high earnings announcement risk earn significantly higher returns only during months when firms have earnings or...

This study examines the dynamics of asset pricing around macroeconomic news announcements. Prior literature documents a significantly positive implied and realized market premia on macroeconomic announcement days. I investigate the days before and after announcements and find a significant swing...