文章基本信息

标题：U.S. Macroeconomic News and International Stock Prices: Evidence from Newspaper Coverage
本地全文：下载
作者：Gene Birz ; Gene Birz ; Sandip Dutta 等
期刊名称：Accounting and Finance Research
印刷版ISSN：1927-5986
电子版ISSN：1927-5994
出版年度：2016
卷号：5
期号：1
DOI：10.5430/afr.v5n1p247
语种：English
出版社：Sciedu Press
摘要：Existing studies provide mixed evidence that the U.S. macroeconomic news impacts international stock prices. We believe this may be related to the fact that economic surprises may not capture how investors interpret macroeconomic releases in various economic conditions. Consequently, we follow Birz and Lott (2011) and use newspaper coverage of economic releases as a measure of news. We argue that in addition to capturing the surprise component of macroeconomic releases, newspaper coverage provide interpretation of these releases similarly to how investors may interpret them in various economic conditions. Out of 15 examined international stock markets, we find that the U.S. macroeconomic news impacts stock returns of 12 countries.
关键词：Stock returns;Macroeconomic news;Media