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Investors’ Behavior Towards Pre-Scheduled Macroeconomic News

Engvik, Martin Andreas; Weigård, Julie Skjebstad
Master thesis
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3.sep prelim.pdf (1.258Mb)
URI
http://hdl.handle.net/11250/2578982
Date
2018
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  • Master of Science [1116]
Abstract
In this thesis, we study how the macroeconomic risk concerning pre-scheduled

news affect investors’ behavior in the US. On days when key macroeconomic news

such as PPI numbers, Labor reports and FOMC statements are scheduled for

release, the daily stock market excess return is significantly higher than on nonannouncement

days. Of the different news releases, the FOMC statement has the

largest impact on the stock market. Furthermore, the result reveals an overall

increase in realized volatility on announcement days, whereas the implied volatility

drops once the news is announced. Our findings demonstrate how investors are

compensated for the macroeconomic risk associated with the news releases.

Keywords: Macroeconomic news; Stock market return; Implied volatility
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018
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Handelshøyskolen BI

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