| dc.description.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 | nb_NO |
