Dissecting Macroeconomic News
研究了宏观经济事件如何影响股票超额收益的期限结构，发现联邦基金利率公告日收益期限结构向上倾斜，非农就业数据对股息资产期限结构影响最大。
Abstract How do macroeconomic events affect the term structure of equity returns? We document that the term structure of equity excess returns is upward sloping on federal fund rate announcement days but not on nonannouncement days. The dividend strips respond significantly to macroeconomic news and the strength of the announcement response declines with the maturity of the dividend asset. Our analysis reveals that nonfarm payrolls surprises have the largest impact on the term structure of dividend strips. The cash flow and discount rate channels both contribute to the response of the dividend asset to macroeconomic news.