Macroeconomic information and stock prices |
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| Affiliation: | 1. King Abdullah Petroleum Studies and Research Center (KAPSARC), Saudi Arabia;2. Department of Economics at The George Washington University, United States;1. McKinley Capital Management, LLC, 3301 C Street, Suite 500, Anchorage, AK 99503, United States;2. Empirical Research Partners, New York, NY, United States;1. IPAG Business School, Paris, France;2. Linköping University, Linköping, Sweden;3. University Paris 8, Saint-Denis, France;1. State University of New York at Buffalo, Dept. of Pharmacy Practice, NYS Center of Excellence in Bioinformatics and Life Sciences, 701 Ellicott Street, Buffalo, NY 14203, United States;2. Cleveland Clinic, Dept. of Biostatistics and Epidemiology, 9500 Euclid Ave., Cleveland, OH 44195, United States;3. State University of New York at Buffalo, Dept. of Biostatistics, 718 Kimball Tower, Buffalo, NY 14214, United States;4. The UNC Eshelman School of Pharmacy, Division of Pharmacotherapy and Experimental Therapeutics, Campus Box 7569, Chapel Hill, NC 27599, United States;5. Roswell Park Cancer Institute, Dept. of Pharmacy Services, Elm & Carlton Streets, Buffalo, NY 14263, United States |
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| Abstract: | The paper analyzes the response of stock prices to the announcements of 15 representative macroeconomic variables. Stock prices respond primarily to announcements of monetary variables. Stocks of financial companies are the most sensitive to monetary news. Implicit in the stock price reactions are the market perceptions that the Federal Reserve plays an important role in future macroeconomic developments. The post-October 1982 change in the operating target of the Federal Reserve did not affect the stock price responses substantially, although it did affect the corresponding responses of short-term interest rates. |
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