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primary topic: Long-Term Volatility Shapes the Stock Market’s Sensitivity to News

Long-Term Volatility Shapes the Stock Market’s Sensitivity to News
type: Article
abstract: We show that the S&P 500’s instantaneous response to surprises in U.S. macroeconomic announcements depends on the level of long-term stock market volatility. When long-term volatility is high, stock returns are more sensitive to news, and there is a pronounced asymmetry in the response to good and bad news. We explain this by combining the Campbell-Shiller log-linear present value framework with a two-component volatility model for the conditional variance of cash flow news and allowing for volatility feedback. In our model, innovations to the long-term volatility component are the most important driver of discount rate news. Large announcement surprises lead to upward revisions in future required returns, which dampens/amplifies the effect of good/bad news.
date: 2023
volume: 0739
author list: authors
type: EPrint
type: WorkingPaperEPrint
is part of: repository
has document: Long-Term Volatility Shapes the Stock Market’s Sensitivity to News (Other)
has document: Long-Term Volatility Shapes the Stock Market’s Sensitivity to News (PDF)
subject: 330 Wirtschaft

Long-Term Volatility Shapes the Stock Market’s Sensitivity to News (PDF)
type: Document
has file: Conrad_Schoelkopf_Tushteva_dp739_2023.pdf
has part: Conrad_Schoelkopf_Tushteva_dp739_2023.pdf

Christian Conrad
type: Person
given name: Christian
family name: Conrad

Julius Theodor Schoelkopf
type: Person
given name: Julius Theodor
family name: Schoelkopf

Nikoleta Tushteva
type: Person
given name: Nikoleta
family name: Tushteva

Long-Term Volatility Shapes the Stock Market’s Sensitivity to News (Other)
type: Document
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Long-Term Volatility Shapes the Stock Market’s Sensitivity to News (Other)
type: Document
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Long-Term Volatility Shapes the Stock Market’s Sensitivity to News (Other)
type: Document
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Long-Term Volatility Shapes the Stock Market’s Sensitivity to News (Other)
type: Document
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Long-Term Volatility Shapes the Stock Market’s Sensitivity to News (Other)
type: Document
is version of: Long-Term Volatility Shapes the Stock Market’s Sensitivity to News (PDF)
is volatile version of: Long-Term Volatility Shapes the Stock Market’s Sensitivity to News (PDF)
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HTML Summary of #34102 Long-Term Volatility Shapes the Stock Market’s Sensitivity to News
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primary topic: Long-Term Volatility Shapes the Stock Market’s Sensitivity to News

330 Wirtschaft
type: Concept
preferred label: 330 Economics @en