News and Asset Pricing: A High-Frequency Anatomy of the SDF
利用实时新闻数据和日内随机贴现因子，识别并量化了被定价的经济新闻，发现货币政策和金融新闻对SDF变动贡献最大，且新闻风险溢价在因子动物园中存在显著差异。
Abstract Utilizing real-time newswire data, together with a robustly estimated intraday stochastic discount factor (SDF), we identify and quantify the economic news that is priced. News related to monetary policy and finance on average accounts for most of the variation in the SDF, followed by news about international affairs and macroeconomic data. We also document nontrivial temporal variation in the relative importance of the news, along with marked differences in the estimated news risk premiums in the “factor zoo.” To further highlight the economic mechanisms at work, we associate the different news effects with interest rate, growth, and risk premium shocks.