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US Equity Announcement Risk Premia

Author

Listed:
  • Lukas Petrasek

    (Charles University, Faculty of Social Sciences, Institute of Economic Studies, Prague, Czechia)

  • Jiri Kukacka

    (Charles University, Faculty of Social Sciences, Institute of Economic Studies, Prague, Czechia & Czech Academy of Sciences, Institute of Information Theory and Automation, Prague, Czechia)

Abstract

We analyze the announcement risk premia on the US market between September 1987 and March 2023 and find that the market index exhibits average excess returns of 8.3 bps for macroeconomic announcement days. This strongly contrasts with 1.4 bps returns for non-announcement days. We further measure the individual stocks´ sensitivities to macroeconomic data announcements over various lookback periods and show that stocks in the high-sensitivity portfolios offer investors significantly higher returns than stocks in the low-sensitivity portfolios. The average returns on the difference portfolios amount to 18 bps per month for the 60-month sensitivities. The Fama-MacBeth regression coefficients for the announcement sensitivity are positive and statistically significant across all lookback periods.

Suggested Citation

  • Lukas Petrasek & Jiri Kukacka, 2024. "US Equity Announcement Risk Premia," Working Papers IES 2024/38, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2024.
    • Handle: RePEc:fau:wpaper:wp2024_38
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    File URL: https://ies.fsv.cuni.cz/en/us-equity-announcement-risk-premia
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    More about this item

    Keywords

    Asset pricing; macroeconomic data announcements; risk premia;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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