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Journal of Economics and Finance

Erschienen in:

20.11.2018

Investor reaction to simultaneous news releases: unemployment vs. earnings

verfasst von: Neeraj J. Gupta, Vitaliy Strohush, Reilly White

Erschienen in: Journal of Economics and Finance | Ausgabe 4/2019

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Abstract

We examine the stock price reaction to surprises in the simultaneous releases of two types of news: macro news (captured by unemployment announcements) and corporate news (captured through earnings releases). Using financial data for the U.S. markets from 1962 to 2012, we confirm that earnings surprises and unemployment surprises significantly affect individual stock returns. Also, in line with Boyd et al. (J Bank Financ 60(2):649–672, 2005), we confirm that both surprises are significant during economic booms and contractions. However, while unemployment surprises are significant on a stand-alone basis, they are systematic events whose impact is captured within systematic risk-adjusted return models such as the Fama-French 3-factor and market models. This suggests that, for individual stocks, earnings surprises dominate unemployment surprises when dealing with simultaneous news releases. The stock market reaction to firm earnings surprises is enhanced during recessions, which can mostly be explained by systemic market functions.

Vorheriger Artikel Governance structure and performance of private family firms

Nächster Artikel Estimating volatility transmission between oil prices and the US Dollar exchange rate under structural breaks

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See Earnings Insight: June 9, 2017 by Factset. Assessed here: https://insight.factset.com/hubfs/Resources/Research%20Desk/Earnings%20Insight/EarningsInsight_060917.pdf

In reported tests using industry clusters (Table 4), we ignore firms with a SIC code of 0000 which signifies either an unknown or unreported industry. However, the findings are similar for unreported tests where we use all the data including firms with SIC codes of 0000 classified as their own industry group.

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Titel: Investor reaction to simultaneous news releases: unemployment vs. earnings
verfasst von: Neeraj J. Gupta
Vitaliy Strohush
Reilly White
Publikationsdatum: 20.11.2018
Verlag: Springer US
Erschienen in: Journal of Economics and Finance / Ausgabe 4/2019
Print ISSN: 1055-0925
Elektronische ISSN: 1938-9744
DOI: https://doi.org/10.1007/s12197-018-9460-z

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