A0278
Title: Time-varying macroeconomic announcement risk
Authors: Jonathan Stroud - Georgetown University (United States) [presenting]
Michael Johannes - Columbia University (United States)
Norman J Seeger - VU University Amsterdam (Netherlands)
Abstract: An issue overlooked in the finance and economics literature is examined: time variation in announcement volatility or event risk. We combine long spans of high-frequency data with a flexible parametric model of returns, which allows us to identify announcement returns, capture intraday volatility dynamics, and identify conditional announcement volatility. Long time spans are needed due to the infrequency of most announcements. We focus on crude oil due to its economic importance, high volatility and complex announcement structure. Results indicate strong evidence for time-varying announcement volatility, as announcement event risk varies by as much as an order of magnitude over time.
