A0387
Title: US equity announcement risk premia
Authors: Lukas Petrasek - Charles University Prague (Czech Republic) [presenting]
Abstract: The aim is to analyze the announcement risk premia on the US market. Previous studies have found that a significant portion of the overall risk premia is earned on FOMC meeting days and on days when inflation and employment reports are published. Our evidence suggests that while the announcement risk premia for these days still exists, a much wider range of macroeconomic data releases should be considered. We find 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 is 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 and both economically and statistically significant. We also explore how do the category and frequency of announcements, or the economic cycle influence the results.
