G14 - Information and Market Efficiency; Event Studies

  • Markets Look Beyond the Headline

    Staff Analytical Note 2018-37 Bruno Feunou, James Kyeong, Raisa Leiderman
    Many reports and analyses interpret the release of new economic data based on the headline surprise—for instance, total inflation, real GDP growth and the unemployment rate. However, we find that headline news alone cannot adequately explain the responses of market prices to new information. Rather, market prices react more strongly, on average, to non-headline news such as the composition of GDP growth, quality of jobs created and revisions to past data. Thus, tracking the impact of non-headline information released on the news day is crucial in analyzing how markets interpret and react to new economic data.
    Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Asset Pricing, Exchange rates, Interest rates JEL Code(s): E, E4, E43, G, G1, G12, G14

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