A0756
Title: US stock market reaction to surprises in macroeconomic data announcements
Authors: Lukas Petrasek - Charles University Prague (Czech Republic) [presenting]
Abstract: The purpose is to analyze the impact of surprising information in macroeconomic data releases on the US stock market using several machine learning techniques. We extend the standard Fama-French 5 factor model for surprise components of releases of the most important macroeconomic variables, such as GDP growth, inflation, or unemployment, in order to test various hypotheses. First, the potential state-dependency of the market reaction is investigated. We further improve the understanding of asymmetries in the responses to positive and negative news. The effects of additional data from the macroeconomic news releases, such as updates on the past figures or detailed numbers, are also covered. Lastly, we assess the eagerness of the market as proposed in the previous literature.
