Is There a Macro-Announcement Premium?

The authors thank department editor Lukas Schmid and the two anonymous referees for their valuable comments and suggestions. The authors are also grateful to Hengjie Ai, Ehsan Azarmsa, Mikhail Chernov, Anna Cieslak, Francois Cocquemas, Christian Dorion, Hitesh Doshi, Casey Dougal, Bjørn Eraker, Stephen Figlewski, Thomas Gilbert, Valentin Haddad, Grace Xing Hu, Kris Jacobs, Mete Kilic, Jung-Wook Kim, Jongsub Lee, Michael Junho Lee, Xinyang Li, Dmitriy Muravyev, Jun Pan, Neil Pearson, Cisil Sarisoy, Ivan Shaliastovich, Xiaoxiao Tang, Jessica Wachter, and Randall Wright as well as seminar participants at the Virtual Derivatives Workshop, the European Finance Association meeting, the Midwest Finance Association meeting, the Eastern Finance Association meeting, the Southwest Finance Association meeting, the SunTrust Speaker Series at the Florida State University, the North American Summer Meeting of the Econometric Society, the Silicon Prairie Finance Conference, Seoul National University, the University of Wisconsin–Madison, and the University of Houston for valuable suggestions and helpful comments.