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Are News Shocks Negatively Priced?

Abstract Views
11
Author
Wupen Li
Category
Financial
Date Posted
2022/06/20
Date Retrieved
2022/06/21
Date Revised
2022/06/21
Date Written
2022/02/01
Description
Traditional theory predicts that news shocks that increase future growth but do not affect current fundamentals have a positive risk price. Using the methodology of Barsky and Sims (2009) I find that news shocks carry a negative factor risk premium. This is consistent with a production model with late resolution of uncertainty but in which utilization is flexible such that investment rises in response to news shocks.
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JEL Classifications
G12
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Pages
3
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URL
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4141726
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