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Market reaction to scheduled and unscheduled news announcements under varying economic conditions / PARVESHSINGH SEEBALLACK

Swansea University Author: PARVESHSINGH SEEBALLACK

  • E-Thesis – open access under embargo until: 7th June 2026

DOI (Published version): 10.23889/SUthesis.57455

Abstract

The unifying theme of this dissertation is the study of the role of macroeconomic news announcements in the context of the equity market. We focus on two important areas of the asset pricing theory, namely price discovery and equity risk premium forecasting. Chapter 2 investigates the time-varying s...

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Published: Swansea 2020
Institution: Swansea University
Degree level: Doctoral
Degree name: Ph.D
Supervisor: Upreti, V. ; Shabi-Ul-Hassan, S. ; Shabi, S. ; Avino, D.
URI: https://cronfa.swan.ac.uk/Record/cronfa57455
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first_indexed 2021-07-27T09:09:06Z
last_indexed 2021-07-28T03:17:34Z
id cronfa57455
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spelling 2021-07-27T15:22:00.1838828 v2 57455 2021-07-27 Market reaction to scheduled and unscheduled news announcements under varying economic conditions 7c357243666137cfa324d231f925ffba PARVESHSINGH SEEBALLACK PARVESHSINGH SEEBALLACK true false 2021-07-27 The unifying theme of this dissertation is the study of the role of macroeconomic news announcements in the context of the equity market. We focus on two important areas of the asset pricing theory, namely price discovery and equity risk premium forecasting. Chapter 2 investigates the time-varying sensitivity of stock returns to scheduled macroeconomic news announcements (MNAs) using high-frequency data. We present new insights into how efficiently stock returns incorporate the informational content of MNAs. We further provide evidence that the stock market response to MNAs is cyclical, and finally we conclude Chapter 2 with an investigation into the factors driving the time-varying sensitivity of stock return to MNAs. Chapter 3 investigates the time-varying sensitivity of stock returns in the context of unscheduled macroeconomic news announcements using high-frequency data. We investigate the speed and persistence in stock returns’ response to unscheduled macro-news announcements, and whether the reactions are dependent on the state of the economy, or general investor sentiment level. Combined, Chapters 2 and 3 provide interesting insights into how equity market participants react to the arrival of scheduled and unscheduled macro-announcements, under varying economic conditions. Chapter 4 focuses on equity risk premium forecasting. We investigate the predictive ability of option-implied volatility variables at monthly horizon, under varying economic conditions. We innovate by constructing monthly announcement and non-announcement option-implied volatility predictors and assess whether the monthly announcement option-implied volatility predictors contain additional information for better out-of-sample predictions of the monthly equity risk premium. Each of the three empirical chapters explores a unique aspect of the asset pricing theory in the context of the U.S. equity market. E-Thesis Swansea price discovery, macroeconomic news announcements, investor sentiment, equity premium forecasting 28 9 2020 2020-09-28 10.23889/SUthesis.57455 COLLEGE NANME COLLEGE CODE Swansea University Upreti, V. ; Shabi-Ul-Hassan, S. ; Shabi, S. ; Avino, D. Doctoral Ph.D 2021-07-27T15:22:00.1838828 2021-07-27T10:05:18.7864438 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance PARVESHSINGH SEEBALLACK 1 Under embargo Under embargo 2021-07-27T10:35:13.8730899 Output 2800282 application/pdf E-Thesis – open access true 2026-06-07T00:00:00.0000000 Copyright: The author, Parveshsingh Seeballack, 2020. true eng
title Market reaction to scheduled and unscheduled news announcements under varying economic conditions
spellingShingle Market reaction to scheduled and unscheduled news announcements under varying economic conditions
PARVESHSINGH SEEBALLACK
title_short Market reaction to scheduled and unscheduled news announcements under varying economic conditions
title_full Market reaction to scheduled and unscheduled news announcements under varying economic conditions
title_fullStr Market reaction to scheduled and unscheduled news announcements under varying economic conditions
title_full_unstemmed Market reaction to scheduled and unscheduled news announcements under varying economic conditions
title_sort Market reaction to scheduled and unscheduled news announcements under varying economic conditions
author_id_str_mv 7c357243666137cfa324d231f925ffba
author_id_fullname_str_mv 7c357243666137cfa324d231f925ffba_***_PARVESHSINGH SEEBALLACK
author PARVESHSINGH SEEBALLACK
author2 PARVESHSINGH SEEBALLACK
format E-Thesis
publishDate 2020
institution Swansea University
doi_str_mv 10.23889/SUthesis.57455
college_str Faculty of Humanities and Social Sciences
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hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
document_store_str 0
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description The unifying theme of this dissertation is the study of the role of macroeconomic news announcements in the context of the equity market. We focus on two important areas of the asset pricing theory, namely price discovery and equity risk premium forecasting. Chapter 2 investigates the time-varying sensitivity of stock returns to scheduled macroeconomic news announcements (MNAs) using high-frequency data. We present new insights into how efficiently stock returns incorporate the informational content of MNAs. We further provide evidence that the stock market response to MNAs is cyclical, and finally we conclude Chapter 2 with an investigation into the factors driving the time-varying sensitivity of stock return to MNAs. Chapter 3 investigates the time-varying sensitivity of stock returns in the context of unscheduled macroeconomic news announcements using high-frequency data. We investigate the speed and persistence in stock returns’ response to unscheduled macro-news announcements, and whether the reactions are dependent on the state of the economy, or general investor sentiment level. Combined, Chapters 2 and 3 provide interesting insights into how equity market participants react to the arrival of scheduled and unscheduled macro-announcements, under varying economic conditions. Chapter 4 focuses on equity risk premium forecasting. We investigate the predictive ability of option-implied volatility variables at monthly horizon, under varying economic conditions. We innovate by constructing monthly announcement and non-announcement option-implied volatility predictors and assess whether the monthly announcement option-implied volatility predictors contain additional information for better out-of-sample predictions of the monthly equity risk premium. Each of the three empirical chapters explores a unique aspect of the asset pricing theory in the context of the U.S. equity market.
published_date 2020-09-28T04:13:12Z
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score 11.016235

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