Macroeconomic Attention and Announcement Risk Premia
构建了衡量对失业和货币政策等宏观经济风险关注度的指数，发现关注度在公告前后及基本面变化后上升，且坏消息更受关注；关注度能预测公告风险溢价和隐含波动率变化，支持内生关注度和公告风险溢价理论。
Abstract We construct macroeconomic attention indexes (MAI), which are new measures of attention to different macroeconomic risks, including unemployment and monetary policy. Individual MAI tend to increase around related announcements and following changes in related fundamentals. Further, bad news raises attention more than good news. For unemployment and FOMC, attention predicts announcement risk premiums and implied volatility changes with large economic magnitudes. Our findings support theories of endogenous attention and announcement risk premiums, while demonstrating future research directions, including that announcements can raise new concerns. Macroeconomic announcements are important not only for contents and timing but also for attention. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.