How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
研究发现，在通胀、失业或利率等重要宏观经济数据预定公告的日子，股票平均回报率和夏普比率显著更高，公告日贡献了年度股权风险溢价超60%，表明投资者要求额外补偿来承担宏观经济风险。
Abstract Stock market average returns and Sharpe ratios are significantly higher on days when important macroeconomic news about inflation, unemployment, or interest rates is scheduled for announcement. The average announcement-day excess return from 1958 to 2009 is 11.4 basis points (bp) versus 1.1 bp for all the other days, suggesting that over 60% of the cumulative annual equity risk premium is earned on announcement days. The Sharpe ratio is 10 times higher. In contrast, the risk-free rate is detectably lower on announcement days, consistent with a precautionary saving motive. Our results demonstrate a trade-off between macroeconomic risk and asset returns, and provide an estimate of the premium investors demand to bear this risk.