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How is macroeconomic information processed and priced in financial markets? This book addresses this question in three steps. First, we explore the sensitivity of investors' risk premium demands to macroeconomic risk. We demonstrate that macroeconomic risk has a huge impact on equity markets. Second, we ask how growth- and inflation-related news impact stock and bond markets. We find macroeconomic information to be awarded a risk premium depending on ist underlying content. Finally, we study how investors could process time series data on individual macroeconomic indicators efficiently. The revised value of macroeconomic indicators usually deviates from the initial announcement. Investors can anticipate this revision to some extent.
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The processing and pricing of macroeconomic information in financial markets, Kristian Dicke
- Sprache
- Erscheinungsdatum
- 2013
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- Titel
- The processing and pricing of macroeconomic information in financial markets
- Sprache
- Englisch
- Autor*innen
- Kristian Dicke
- Verlag
- Kovač
- Erscheinungsdatum
- 2013
- ISBN10
- 3830074433
- ISBN13
- 9783830074434
- Kategorie
- Skripten & Universitätslehrbücher
- Beschreibung
- How is macroeconomic information processed and priced in financial markets? This book addresses this question in three steps. First, we explore the sensitivity of investors' risk premium demands to macroeconomic risk. We demonstrate that macroeconomic risk has a huge impact on equity markets. Second, we ask how growth- and inflation-related news impact stock and bond markets. We find macroeconomic information to be awarded a risk premium depending on ist underlying content. Finally, we study how investors could process time series data on individual macroeconomic indicators efficiently. The revised value of macroeconomic indicators usually deviates from the initial announcement. Investors can anticipate this revision to some extent.