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Risk Preferences and the Macroeconomic Announcement Premium

Citations

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Cited by:

  1. Kroencke, Tim A. & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC Risk Shift," Journal of Monetary Economics, Elsevier, vol. 120(C), pages 21-39.
  2. Gertsman, Gleb, 2023. "Behavioral preferences and beliefs in asset pricing," Other publications TiSEM c7196596-1bf8-47c9-a147-6, Tilburg University, School of Economics and Management.
  3. Azi Ben‐Rephael & Bruce I. Carlin & Zhi Da & Ryan D. Israelsen, 2021. "Information Consumption and Asset Pricing," Journal of Finance, American Finance Association, vol. 76(1), pages 357-394, February.
  4. Andreas Neuhierl & Michael Weber & Michael Weber, 2017. "Monetary Momentum," CESifo Working Paper Series 6648, CESifo.
  5. Jingjing Chen & George J. Jiang, 2025. "High‐beta stock valuation around macroeconomic announcements," The Financial Review, Eastern Finance Association, vol. 60(1), pages 95-120, February.
  6. Hu, Grace Xing & Pan, Jun & Wang, Jiang & Zhu, Haoxiang, 2022. "Premium for heightened uncertainty: Explaining pre-announcement market returns," Journal of Financial Economics, Elsevier, vol. 145(3), pages 909-936.
  7. Juan M. Londono & Mehrdad Samadi, 2023. "The Price of Macroeconomic Uncertainty: Evidence from Daily Options," International Finance Discussion Papers 1376, Board of Governors of the Federal Reserve System (U.S.).
  8. Phuong Ngo & Francois Gourio, 2016. "Risk Premia at the ZLB: a macroeconomic interpretation," 2016 Meeting Papers 1585, Society for Economic Dynamics.
  9. Yang-Ho Park, 2019. "Information in Yield Spread Trades," Finance and Economics Discussion Series 2019-025, Board of Governors of the Federal Reserve System (U.S.).
  10. Stefano Bonini & Shengyu Huang & Majeed Simaan, 2026. "Watching the FedWatch," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(4), pages 675-697, April.
  11. Liu, Hong & Tang, Xiaoxiao & Zhou, Guofu, 2022. "Recovering the FOMC risk premium," Journal of Financial Economics, Elsevier, vol. 145(1), pages 45-68.
  12. Cosmin L. Ilut & Martin Schneider, 2022. "Modeling Uncertainty as Ambiguity: a Review," NBER Working Papers 29915, National Bureau of Economic Research, Inc.
  13. Davide E. Avino & Andrei Stancu & Chardin Wese Simen, 2021. "Dissecting Macroeconomic News," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(5), pages 1047-1077, August.
  14. Monaco, Eleonora & Murgia, Lucia Milena, 2023. "Retail attention and the FOMC equity premium," Finance Research Letters, Elsevier, vol. 53(C).
  15. Andersen, Torben G. & Riva, Raul & Thyrsgaard, Martin & Todorov, Viktor, 2023. "Intraday cross-sectional distributions of systematic risk," Journal of Econometrics, Elsevier, vol. 235(2), pages 1394-1418.
  16. Florian Mudekereza, 2025. "Robust Aggregation of Preferences," Papers 2504.07401, arXiv.org, revised Feb 2026.
  17. Mirela S. Miescu & Haroon Mumtaz, 2024. "Corporate Earnings Announcements And Economic Activity," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 65(4), pages 1777-1793, November.
  18. Zhang, Tongbin, 2021. "Stock prices and the risk-free rate: An internal rationality approach," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  19. Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
  20. Sujoy Mukerji & Han N. Ozsoylev & Jean‐Marc Tallon, 2023. "Trading Ambiguity: A Tale Of Two Heterogeneities," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 1127-1164, August.
  21. Schlag, Christian & Thimme, Julian & Weber, Rüdiger, 2020. "Implied Volatility Duration: A measure for the timing of uncertainty resolution," SAFE Working Paper Series 265, Leibniz Institute for Financial Research SAFE.
  22. Bianchi, Francesco & Gómez-Cram, Roberto & Kind, Thilo & Kung, Howard, 2023. "Threats to central bank independence: High-frequency identification with twitter," Journal of Monetary Economics, Elsevier, vol. 135(C), pages 37-54.
  23. Xu, Nancy R. & You, Yang, 2025. "Main Street’s Pain, Wall Street’s Gain," Journal of Financial Economics, Elsevier, vol. 168(C).
  24. Christensen, Kim & Timmermann, Allan & Veliyev, Bezirgen, 2025. "Warp speed price moves: Jumps after earnings announcements," Journal of Financial Economics, Elsevier, vol. 167(C).
  25. Lou, Dong & Pinter, Gabor & Üslü, Semih & Walker, Danny, 2025. "Yield drifts when issuance comes before macro news," Journal of Financial Economics, Elsevier, vol. 165(C).
  26. Ehrmann, Michael & Hubert, Paul, 2026. "Information acquisition ahead of monetary policy announcements," European Economic Review, Elsevier, vol. 184(C).
  27. Li, Ye & Wang, Chen, 2025. "The Information Cliff," SocArXiv bf8cx_v1, Center for Open Science.
  28. Bekjarovski, Filip, 2019. "Active investing," Other publications TiSEM 7636da9d-f63e-451a-ba78-d, Tilburg University, School of Economics and Management.
  29. Hening Liu & Yuzhao Zhang, 2022. "Financial Uncertainty with Ambiguity and Learning," Management Science, INFORMS, vol. 68(3), pages 2120-2140, March.
  30. Bollerslev, Tim & Li, Jia & Li, Qiyuan, 2024. "Optimal nonparametric range-based volatility estimation," Journal of Econometrics, Elsevier, vol. 238(1).
  31. Marmora, Paul, 2025. "The causal effect of limited attention to FOMC announcements," Journal of Economic Behavior & Organization, Elsevier, vol. 234(C).
  32. Zhang, Chu & Zhao, Shen, 2023. "The macroeconomic announcement premium and information environment," Journal of Monetary Economics, Elsevier, vol. 139(C), pages 55-73.
  33. Li, Haoyang & Zhang, Xiaomeng, 2023. "Deciphering the influence of the macroeconomic environment on economic preferences: A comprehensive analysis of the Global Preferences Survey," Finance Research Letters, Elsevier, vol. 57(C).
  34. Zihuang Huang & Xiaoyu Zhang & Kaifeng Li, 2024. "The Impact of CSI SEEE Carbon Neutral Index Launched on Order Aggressiveness," JRFM, MDPI, vol. 17(5), pages 1-20, May.
  35. Leombroni, Matteo & Vedolin, Andrea & Venter, Gyuri & Whelan, Paul, 2021. "Central bank communication and the yield curve," Journal of Financial Economics, Elsevier, vol. 141(3), pages 860-880.
  36. Philipp K. Illeditsch & Jayant V. Ganguli & Scott Condie, 2021. "Information Inertia," Journal of Finance, American Finance Association, vol. 76(1), pages 443-479, February.
  37. Puhl, Martin & Savor, Pavel & Wilson, Mungo, 2024. "Uncertainty premia for small and large risks," Journal of Banking & Finance, Elsevier, vol. 167(C).
  38. Ben-Rephael, Azi & Cookson, J. Anthony & izhakian, yehuda, 2022. "Do I Really Want to Hear The News? Public Information Arrival and Investor Beliefs," SocArXiv ud7yw, Center for Open Science.
  39. Shilin Li & Jinqiang Yang & Siqi Zhao, 2022. "Robust leverage dynamics without commitment," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(2), pages 643-679, September.
  40. Wang, Chen & Zhao, Kevin, 2024. "Pre-Refunding Announcement Gains in U.S. Treasurys," SocArXiv xucf8, Center for Open Science.
  41. Arteaga-Garavito, Maria Jose & Croce, Mariano M. & Farroni, Paolo & Wolfskeil, Isabella, 2024. "When the markets get CO.V.I.D: COntagion, Viruses, and Information Diffusion," Journal of Financial Economics, Elsevier, vol. 157(C).
  42. repec:osf:socarx:ud7yw_v1 is not listed on IDEAS
  43. Sonya Zhu, 2023. "Volume dynamics around FOMC announcements," BIS Working Papers 1079, Bank for International Settlements.
  44. Anastasios G. Karantounias, 2024. "A general theory of tax-smoothing," Discussion Papers 2444, Centre for Macroeconomics (CFM).
  45. Ai, Hengjie & Han, Leyla Jianyu & Pan, Xuhui Nick & Xu, Lai, 2022. "The cross section of the monetary policy announcement premium," Journal of Financial Economics, Elsevier, vol. 143(1), pages 247-276.
  46. Fousseni Chabi-Yo & Chukwuma Dim & Grigory Vilkov, 2023. "Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks," Management Science, INFORMS, vol. 69(2), pages 922-939, February.
  47. Bin Wei, 2021. "Ambiguity, Long-Run Risks, and Asset Prices," FRB Atlanta Working Paper 2021-21, Federal Reserve Bank of Atlanta.
  48. Indriawan, Ivan & Jiao, Feng & Tse, Yiuman, 2021. "The FOMC announcement returns on long-term US and German bond futures," Journal of Banking & Finance, Elsevier, vol. 123(C).
  49. Alessandro Casini & Adam McCloskey, 2025. "Identification, Estimation and Inference in High-Frequency Event Study Regressions," CEIS Research Paper 608, Tor Vergata University, CEIS, revised 28 Jul 2025.
  50. Park, Yang-Ho, 2022. "Informed trading in foreign exchange futures: Payroll news timing," Journal of Banking & Finance, Elsevier, vol. 135(C).
  51. Rui Guo & Dun Jia & Xi Sun, 2023. "Information Acquisition, Uncertainty Reduction, and Pre-Announcement Premium in China," Review of Finance, European Finance Association, vol. 27(3), pages 1077-1118.
  52. Difang Huang & Yubin Li & Xinjie Wang & Zhaodong (Ken) Zhong, 2022. "Does the Federal Open Market Committee cycle affect credit risk?," Financial Management, Financial Management Association International, vol. 51(1), pages 143-167, March.
  53. Tim Bollerslev & Jia Li & Zhipeng Liao, 2021. "Fixed‐k inference for volatility," Quantitative Economics, Econometric Society, vol. 12(4), pages 1053-1084, November.
  54. Liu, Kui & Meng, Chuyan & Yang, Shasha & Zhang, Guanglu, 2024. "Air pollution and individual risk preference: Evidence from China," Energy Economics, Elsevier, vol. 136(C).
  55. Ian W.R. Martin, 2025. "Information in Derivatives Markets: Forecasting Prices with Prices," Annual Review of Financial Economics, Annual Reviews, vol. 17(1), pages 295-319, November.
  56. Hengjie Ai & Anmol Bhandari, 2021. "Asset Pricing With Endogenously Uninsurable Tail Risk," Econometrica, Econometric Society, vol. 89(3), pages 1471-1505, May.
  57. Han, Leyla Jianyu, 2025. "Announcements, expectations, and stock returns with asymmetric information," Journal of Monetary Economics, Elsevier, vol. 151(C).
  58. Bommier, Antoine & Schernberg, Hélène, 2021. "Would you prefer your retirement income to depend on your life expectancy?," Journal of Economic Theory, Elsevier, vol. 191(C).
  59. M. Max Croce & Tatyana Marchuk & Christian Schlag, 2019. "The Leading Premium," NBER Working Papers 25633, National Bureau of Economic Research, Inc.
  60. Nina Boyarchenko & Lars C Larsen & Paul Whelan & Stefano Giglio, 2023. "The Overnight Drift," The Review of Financial Studies, Society for Financial Studies, vol. 36(9), pages 3502-3547.
  61. Croce, Mariano M. & Marchuk, Tatyana & Schlag, Christian, 2022. "The leading premium," SAFE Working Paper Series 371, Leibniz Institute for Financial Research SAFE.
  62. Manjhi, Ganesh & Shah, Raashid, 2025. "What do sentiments of budget speeches mean for stock returns?," Economic Modelling, Elsevier, vol. 151(C).
  63. Chao Gao & Grace Xing Hu & Xiaoyan Zhang, 2026. "Uncertainty Risk Resolution Before Earnings Announcements," Management Science, INFORMS, vol. 72(3), pages 1835-1857, March.
  64. Songrun He, 2026. "Interpretable Systematic Risk around the Clock," Papers 2604.13458, arXiv.org.
  65. Schlag, Christian & Thimme, Julian & Weber, Rüdiger, 2021. "Implied volatility duration: A measure for the timing of uncertainty resolution," Journal of Financial Economics, Elsevier, vol. 140(1), pages 127-144.
  66. Chao Ying, 2020. "The Pre-FOMC Announcement Drift and Private Information: Kyle Meets Macro-Finance," 2020 Papers pyi149, Job Market Papers.
  67. Adlai Fisher & Charles Martineau & Jinfei Sheng, 2022. "Macroeconomic Attention and Announcement Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5057-5093.
  68. Croce, Mariano & Farroni, Paolo & Wolfskeil, Isabella, 2020. "When the Markets Get COVID: COntagion, Viruses, and Information Diffusion," CEPR Discussion Papers 14674, Centre for Economic Policy Research.
  69. Choi, Kyoung Jin & Jeon, Junkee & Koo, Hyeng Keun, 2022. "Intertemporal preference with loss aversion: Consumption and risk-attitude," Journal of Economic Theory, Elsevier, vol. 200(C).
  70. repec:osf:socarx:zurfk_v1 is not listed on IDEAS
  71. Florian Mudekereza, 2026. "Belief Aggregation under Costly Information," Papers 2606.11600, arXiv.org.
  72. Zhi Da & Jian Hua & Tim Chih-Ching Hung & Lin Peng, 2025. "Market Returns and a Tale of Two Types of Attention," Management Science, INFORMS, vol. 71(12), pages 10505-10537, December.
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