US macroannouncements and international asset pricing

Abstract

The world capital asset-pricing model is the benchmark model in international finance. However, recent research finds that the premium on the world market factor is insignificant. In this paper, we investigate if the world market risk premium is particularly significant on US macroeconomic announcement days. Empirically, we apply the methodology to daily country exchange-traded funds. Our findings suggest that although the world market risk premium is insignificant on nonannouncement days, it is strongly significant on US macroeconomic announcement days. In addition, we find that US monetary policy announcements are the most important macroeconomic announcements to drive the world market risk premium. Our findings are consistent with the notion of monetary policy uncertainty and the empirical literature that connects policy uncertainty with systematic risk.

Latin American stock market dynamics and comovement

“…Is there a clear lead-lag relationship? Such analyses will complement findings by studies that analyse the impacts of U.S. monetary policy on foreign equities (see, e.g., Wongswan, 2009;Chortareas & Noikokyris, 2017;Du, 2017), which there is a statistically significant effect of U.S. monetary policy surprises on foreign equity indexes, but then explain only a small percentage of the foreign equity price movements.…”

Does policy uncertainty of the blockchain dampen ICO markets?

“…There is a growing literature on the role of political uncertainty for asset pricing. Du (2017) finds that announcements of US monetary policy are the most important macroeconomic driver of risk premiums, suggesting that policy uncertainty is relevant for systematic risk in the capital market. Brogaard and Detzel (2015) find that economic policy uncertainty (EPU) helps forecasting excess returns in the stock market.…”