Relative importance of scheduled macroeconomic news for stock market investors |
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Authors: | Michael Graham Jussi Nikkinen Petri Sahlström |
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Institution: | (1) Department of Accounting and Finance, University of Vaasa, P.O. Box 700, 65101 Vaasa, Finland |
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Abstract: | This paper investigates the relative importance of scheduled U.S. macroeconomic news releases for stock valuation. The study
focuses on 11 macroeconomic announcements selected on the basis of the previous literature and the Bureau of Labor Statistics
classifications of major economic indicators. The paper shows that five out of the 11 announcements have significant influence
on stock valuation. These are the Employment Report, NAPM (manufacturing), Producer Price Index, Import and Export Price Indices,
and Employment Cost Index. Of these six announcements, the Employment Report and NAPM (manufacturing) exert the greatest influence.
The time of the announcement, measured by days from the beginning of the month to the release day, has a moderating impact
on the relationship between macroeconomic announcements and its importance. |
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Keywords: | |
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