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[组图]No.319 The Macroeconomic Announcement Day Effect over Business Cycles
发布时间:2015-11-11 来源:本站原创  


1110日上午1030,来自香港科技大学的Zhang Chu教授来我院做学术讲座。讲座题目是“The Macroeconomic Announcement Day Effect over Business Cycles”。学院师生参加。

 

主要内容:

We propose a learning-based model of the macroeconomic-announcement-day effect

that the average daily excess return on the US stock index is positive on the announcement days of unemployment rate, inflation rate and Fed's interest rate decisions, while indistinguishable from zero on non-announcement days, documented in the literature. The model implies that the positive average stock return is a result of reduction in un-certainty through learning and that the learning effect depends on information quality. We provide supportive empirical evidence that on macroeconomic announcement days there are significant declines in the VIX index, known as investors' fear gauge. This phenomenon is more pronounced during economic expansions, when information quality is high, than during recessions, when information quality is poor.

 

 

 

 

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