8:30经济中的风险溢价

IF 0.9 Q3 BUSINESS, FINANCE

Quarterly Journal of Finance Pub Date : 2018-08-07 DOI:10.1142/S2010139218500106

Jon Faust, Jonathan H. Wright

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引用次数: 19

摘要

人们普遍认为，金融资产风险溢价会随时间变化。本文将这些风险溢价分解为宏观经济新闻公告(通常在上午8:30发布)前后的短窗口内获得的预期超额回报，以及在其他时间获得的预期超额回报。利用日内数据，我们发现一些(但不是全部)随时间变化的预期超额回报恰好在宏观经济公告发布前后产生。在预测6个月累积债券回报时，公告窗口的可预测性高于其他时间。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Risk Premia in the 8:30 Economy

Financial asset risk premia are widely agreed to vary over time. This paper decomposes these risk premia into expected excess returns earned in short windows around the times of macroeconomic news announcements (which mostly come out at 8:30am) and the expected excess returns that are earned at other times. Using intradaily data, we find that some, but not all, of the time-varying expected excess returns accrue right around macroeconomic announcements. In forecasting six-month cumulative bond returns, there is more predictability in announcement windows than at other times.

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来源期刊

Quarterly Journal of Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.