<<When does the stock market listen to economic news? New evidence from copulas and news wires>>

此篇论文发表在2016年Journal of Banking & Finance上。作者用copula模型来分析宏观经济新闻与股票市场回报的关联。

简介

We study association between macroeconomic news and stock market returns using the statistical theory of copulas, and a new comprehensive measure of news based on textual review and classification of news wires. We find the impact of economic news on equity returns to be nonlinear and asymmetric. In particular, controlling for economic conditions and surprises associated with releases of economic data, we find that the market reacts strongly and negatively to the most unfavourable macroeconomic news, but appears to largely discount the good news. Further, the most-unfavorable news creates price drift, and we document that selling stocks short in the wake of unusually-bad news yields annual abnormal gross returns greater than four percent.