Is There a Macro-Announcement Premium?

The VIX barely drops at macro-announcements. This is at odds with virtually all models that attempt to explain the "macro-announcement premium." We point out that the macro-announcement sample is too small, considering the high volatility and fat tail of daily returns. Our small-sample argument jointly explains the return and VIX patterns of macro-announcement days. The estimation based on a statistical model shows that high macro-announcement returns are not a manifestation of high conditional equity premiums, but return innovations that are not averaged out in-sample. Non-announcement days with similar drops in the VIX obtain similar excess returns through asymmetric volatility. Our analysis suggests that the large average macro-announcement return might not be a compensation for perceived uncertainty.