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Dissecting Macroeconomic News
Author(s) -
AVINO DAVIDE E.,
STANCU ANDREI,
WESE SIMEN CHARDIN
Publication year - 2021
Publication title -
journal of money, credit and banking
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.763
H-Index - 108
eISSN - 1538-4616
pISSN - 0022-2879
DOI - 10.1111/jmcb.12804
Subject(s) - dividend , nonfarm payrolls , monetary economics , economics , equity (law) , cash flow , dividend payout ratio , financial economics , asset (computer security) , dividend policy , finance , biology , computer security , computer science , ecology , political science , law , agriculture
How do macroeconomic events affect the term structure of equity returns? We document that the term structure of equity excess returns is upward sloping on federal fund rate announcement days but not on nonannouncement days. The dividend strips respond significantly to macroeconomic news and the strength of the announcement response declines with the maturity of the dividend asset. Our analysis reveals that nonfarm payrolls surprises have the largest impact on the term structure of dividend strips. The cash flow and discount rate channels both contribute to the response of the dividend asset to macroeconomic news.