We show that asset prices behave very differently on days when important macroeconomic news is scheduled for announcement relative to other trading days. In addition to significantly higher average returns for risky assets on announcement days, return patterns are also much easier to reconcile...

While global stock markets enjoy high returns on days surrounding FOMC meetings, there is no comparable result for other central banks either internationally or, more surprisingly, domestically. Neither announcement surprises nor currency moves drive these findings, which hold even for stocks...

We construct an ex-ante measure of the price of risk based on changes in the option-implied concavity of preferences around scheduled macroeconomic announcements. We motivate this measure using an example of smooth ambiguity-averse preferences where the intuition is particularly clear. Our model...