A Model of Two Days: Discrete News and Asset Prices
实证发现股票收益在宏观公告日有显著模式，大部分股权溢价在公告日实现，且市场贝塔与预期收益的关系在公告日更强。本文构建了一个模型，其中投资者在公告日学习不利经济状态的概率，并定量解释了这些发现。
Abstract Empirical studies demonstrate striking patterns in stock returns related to scheduled macroeconomic announcements. A large proportion of the total equity premium is realized on days with macroeconomic announcements. The relation between market betas and expected returns is far stronger on announcement days as compared with nonannouncement days. Finally, these results hold for fixed-income investments as well as for stocks. We present a model in which agents learn the probability of an adverse economic state on announcement days. We show that the model quantitatively accounts for the empirical findings. Evidence from options data provides support for the model’s mechanism.