US equity announcement risk premia

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F25%3A00637284" target="_blank" >RIV/67985556:_____/25:00637284 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/25:10499463
Result on the web
<a href="https://link.springer.com/article/10.1007/s11156-024-01372-3" target="_blank" >https://link.springer.com/article/10.1007/s11156-024-01372-3</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s11156-024-01372-3" target="_blank" >10.1007/s11156-024-01372-3</a>

Result language
angličtina
Original language name
US equity announcement risk premia
Original language description
We analyze the announcement risk premia on the US market between September 1987 and March 2023 and find that the market index exhibits average excess returns of 8.3 bps for macroeconomic announcement days. This strongly contrasts with 1.4 bps returns for non-announcement days. We further measure the individual stocks’ sensitivities to macroeconomic data announcements over various lookback periods and show that stocks in the high-sensitivity portfolios offer investors significantly higher returns than stocks in the low-sensitivity portfolios. The average returns on the difference portfolios amount to 18 bps per month for the 60-month sensitivities. The Fama–MacBeth regression coefficients for the announcement sensitivity are positive and statistically significant across all lookback periods.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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