Asset Pricing: A Tale of Two Days

@inproceedings{Savor2014AssetPA,
  title={Asset Pricing: A Tale of Two Days},
  author={Pavel Savor and Mungo Wilson},
  year={2014}
}
We show that asset prices behave very differently on days when important macroeconomic news is scheduled for announcement. In addition to significantly higher average returns for risky assets on announcement days, return patterns are much easier to reconcile with standard asset pricing theories, both cross-sectionally and over time. On such days, stock market beta is strongly related to average returns. This positive relation holds for individual stocks, for various test portfolios, and even… CONTINUE READING

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