| bibtype |
J -
Journal Article
|
| ARLID |
0637284 |
| utime |
20250804074806.4 |
| mtime |
20250713235959.9 |
| SCOPUS |
85212481154 |
| WOS |
001380439800001 |
| DOI |
10.1007/s11156-024-01372-3 |
| title
(primary) (eng) |
US equity announcement risk premia |
| specification |
| page_count |
18 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0633012 |
| ISSN |
0924-865X |
| title
|
Review of Quantitative Finance and Accounting |
| volume_id |
365 |
| volume |
1 (2025) |
| page_num |
345-363 |
|
| keyword |
Asset pricing |
| keyword |
Macroeconomic data announcements |
| keyword |
Risk premia |
| author
(primary) |
| ARLID |
cav_un_auth*0490305 |
| name1 |
Petrásek |
| name2 |
L. |
| country |
CZ |
| share |
85 |
| garant |
K |
|
| author
|
| ARLID |
cav_un_auth*0293468 |
| name1 |
Kukačka |
| name2 |
Jiří |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| share |
15 |
| garant |
S |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| source |
|
| cas_special |
| project |
| project_id |
263023 |
| agency |
GA UK |
| country |
CZ |
| ARLID |
cav_un_auth*0491358 |
|
| project |
| project_id |
24/SSH/020 |
| agency |
GA UK |
| country |
CZ |
| ARLID |
cav_un_auth*0467327 |
|
| abstract
(eng) |
We analyze the announcement risk premia on the US market between September 1987 and March 2023 and find that the market index exhibits average excess returns of 8.3 bps for macroeconomic announcement days. This strongly contrasts with 1.4 bps returns for non-announcement days. We further measure the individual stocks’ sensitivities to macroeconomic data announcements over various lookback periods and show that stocks in the high-sensitivity portfolios offer investors significantly higher returns than stocks in the low-sensitivity portfolios. The average returns on the difference portfolios amount to 18 bps per month for the 60-month sensitivities. The Fama–MacBeth regression coefficients for the announcement sensitivity are positive and statistically significant across all lookback periods. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50206 |
| reportyear |
2026 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
https://hdl.handle.net/11104/0368623 |
| cooperation |
| ARLID |
cav_un_auth*0434690 |
| name |
Institut ekonomických studií, Fakulta sociálnich věd, Univerzita Karlova |
| institution |
IES FSV UK |
| country |
CZ |
|
| confidential |
S |
| mrcbC91 |
C |
| mrcbT16-e |
BUSINESS.FINANCE |
| mrcbT16-f |
2.2 |
| mrcbT16-g |
0.5 |
| mrcbT16-h |
6 |
| mrcbT16-i |
0.00153 |
| mrcbT16-j |
0.373 |
| mrcbT16-k |
2400 |
| mrcbT16-q |
57 |
| mrcbT16-s |
0.541 |
| mrcbT16-y |
72.07 |
| mrcbT16-x |
2.87 |
| mrcbT16-3 |
834 |
| mrcbT16-4 |
Q2 |
| mrcbT16-5 |
1.600 |
| mrcbT16-6 |
141 |
| mrcbT16-7 |
Q2 |
| mrcbT16-C |
56.6 |
| mrcbT16-M |
0.57 |
| mrcbT16-N |
Q2 |
| mrcbT16-P |
56.6 |
| arlyear |
2025 |
| mrcbU14 |
85212481154 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
001380439800001 WOS |
| mrcbU63 |
cav_un_epca*0633012 Review of Quantitative Finance and Accounting 365 1 2025 345 363 0924-865X 1573-7179 |
|