A1531
Title: US equity announcement risk premia
Authors: Lukas Petrasek - Charles University Prague (Czech Republic) [presenting]
Abstract: The announcement risk premia is analyzed on the US equity market. Previous studies have found that a significant portion of the overall risk premia is earned on FOMC meeting days and when inflation and employment reports are published. The evidence suggests that while the announcement risk premium for these days still exists, there is a much wider range of macroeconomic data releases to consider. It is found that between September 1987 and March 2023, 99\% of the overall cumulative risk premia on the Russell 3000 index is earned on days when data on 17 important macroeconomic variables are released (46\% of all trading days). The average return on those days is 6.7 bps compared to 0.9 bps earned on days without any announcements. These results are robust to the inclusion of several controls and are economically and statistically significant.
