Is There a Macro-Announcement Premium?

The conditional return volatility barely drops at macro-announcements. This is at odds with the notion that high announcement returns are a manifestation of a large announcement premium. We show that models with an announcement premium cannot fully explain the joint patterns of returns and volatility over announcement days. Surprisingly, traditional models, which do not feature such a premium, can. Our estimation results based on a statistical setup indicate that the average announcement return is mostly attributable to the monetary policy surprise and pure small-sample components, which do not average out in-sample; the announcement premium is estimated to be small. This paper was accepted by Lukas Schmid, finance. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2024.06960 .

• 저널Management Science
• 토픽Financial Markets and Investment Strategies · Finance
• DOI10.1287/mnsc.2024.06960
• 저자Mohammad Ghaderi, Sang Byung Seo