TY  - GEN
EP  - 51
A1  - Conrad, Christian
A1  - Schoelkopf, Julius Theodor
A1  - Tushteva, Nikoleta
UR  - https://archiv.ub.uni-heidelberg.de/volltextserver/34102/
N2  - 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.
CY  - Heidelberg
AV  - public
T3  - AWI Discussion Paper Series
Y1  - 2023///
TI  - Long-Term Volatility Shapes the Stock Market?s Sensitivity to News
KW  - event study
KW  -  long- and short-term volatility
KW  -  macroeconomic announcements
KW  -  stock market response
KW  -  time-varying risk premia
KW  -  volatility feedback effect
ID  - heidok34102
ER  -