Martin Utrera, Alberto (2018) Maximum Mispricing on Announcement Days. Working Paper. UNSPECIFIED.
Full text not available from this repository.Abstract
I study the role of macroeconomic announcements in the multidimensional challenge posed by Cochrane (2011). Recent work argues that market betas explain average returns well on announcement days, however I document that the exposure to a multi-signal factor contributes to explain the cross-section on those days. A long-short strategy exploiting these exposures can improve the market Sharpe ratio by 30% on announcement days. I argue that macroeconomic announcements can exacerbate CAPM-mispricing of certain stocks, and its large economic significance can be illustrated through simple trading rules. A parsimonious rational expectations model with multiple signals about fundamentals can reconcile these results.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Departments: | Lancaster University Management School > Accounting & Finance |
| ID Code: | 127602 |
| Deposited By: | ep_importer_pure |
| Deposited On: | 27 Sep 2018 13:00 |
| Refereed?: | No |
| Published?: | Published |
| Last Modified: | 13 Dec 2019 00:52 |
| URI: | https://eprints.lancs.ac.uk/id/eprint/127602 |
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