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The effect of macroeconomic news on stock returns: New evidence from newspaper coverage

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  • Birz, Gene
  • Lott Jr., John R.
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    Abstract

    Previous literature has produced weak evidence to support the hypothesis that real economic news affects stock returns. This is, in part, attributed to the difficulty of measuring how investors interpret macroeconomic announcements in different economic environments. In this paper, we choose a different approach of measuring macroeconomic news to better estimate its effect on stock returns. Since newspaper stories provide an interpretation of the statistical releases, we choose newspaper stories as our measure of news. Our findings indicate that news about GDP and unemployment does affect stock returns.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0378426611001117
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 35 (2011)
    Issue (Month): 11 (November)
    Pages: 2791-2800

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    Handle: RePEc:eee:jbfina:v:35:y:2011:i:11:p:2791-2800

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    Web page: http://www.elsevier.com/locate/jbf

    Related research

    Keywords: Stock returns Macroeconomic news Information;

    References

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    Cited by:
    1. Imane El Ouadghiri & Valerie Mignon & Nicolas Boitout, 2014. "On the impact of macroeconomic news surprises on Treasury-bond yields," EconomiX Working Papers 2014-20, University of Paris West - Nanterre la Défense, EconomiX.
    2. Löffler, Gunter & Posch, Peter N, 2013. "Wall Street’s bailout bet: Market reactions to house price releases in the presence of bailout expectations," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5147-5158.
    3. Cristi Spulbar & Mihai Nitoi, 2012. "The Impact Of Political And Economic News On The Euro/Ron Exchange Rate: A Garch Approach," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 4, pages 52-58, December.
    4. Scholtus, Martin & van Dijk, Dick & Frijns, Bart, 2014. "Speed, algorithmic trading, and market quality around macroeconomic news announcements," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 89-105.
    5. Charles, Amélie & Darné, Olivier, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 188-199.
    6. Mun, Kyung-Chun, 2012. "The joint response of stock and foreign exchange markets to macroeconomic surprises: Using US and Japanese data," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 383-394.
    7. Singh, Manohar & Nejadmalayeri, Ali & Lucey, Brian, 2013. "Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(4), pages 476-485.
    8. Lóránd István KRÁLIK, 2012. "Macroeconomic Variables and Stock Market Evolution," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 60(2), pages 197-203, May.

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