Cover Image

Expectation dispersion, uncertainty, and the reaction to news

Show other versions (2)

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the pre...

Full description

Saved in:
Bibliographic Details
Main Authors: Born, Benjamin (Author) , Dovern, Jonas (Author) , Enders, Zeno (Author)
Format: Book/Monograph Working Paper
Language:English
Published: Munich, Germany CESifo, Center for Economic Studies & Ifo Institute December 2020
Series:CESifo working paper no. 8801 (2020)
In: CESifo working papers (no. 8801 (2020))

Subjects:
Graue Literatur
Online Access:Verlag, kostenfrei: https://www.cesifo.org/DocDL/cesifo1_wp8801.pdf
Verlag, kostenfrei: https://www.cesifo.org/en/publikationen/2020/working-paper/expectation-dispersion-uncertainty-and-reaction-news
Resolving-System, kostenfrei: http://hdl.handle.net/10419/232398
Get full text
Author Notes:Benjamin Born, Jonas Dovern, Zeno Enders

MARC

LEADER 00000cam a2200000 c 4500
001 1744372543
003 DE-627
005 20241127214221.0
007 cr uuu---uuuuu
008 210112s2020 gw |||||o 00| ||eng c
024 7 |a 10419/232398  |2 hdl 
035 |a (DE-627)1744372543 
035 |a (DE-599)KXP1744372543 
040 |a DE-627  |b ger  |c DE-627  |e rda 
041 |a eng 
044 |c XA-DE 
084 |a 17  |2 sdnb 
084 |a E44  |a G12  |a G14  |2 jelc 
100 1 |a Born, Benjamin  |e VerfasserIn  |0 (DE-588)144012456  |0 (DE-627)656270276  |0 (DE-576)340325984  |4 aut 
245 1 0 |a Expectation dispersion, uncertainty, and the reaction to news  |c Benjamin Born, Jonas Dovern, Zeno Enders 
264 1 |a Munich, Germany  |b CESifo, Center for Economic Studies & Ifo Institute  |c December 2020 
300 |a 1 Online-Ressource (circa 23 Seiten)  |b Illustrationen 
336 |a Text  |b txt  |2 rdacontent 
337 |a Computermedien  |b c  |2 rdamedia 
338 |a Online-Ressource  |b cr  |2 rdacarrier 
490 1 |a CESifo working paper  |v no. 8801 (2020) 
520 |a Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the preceding dispersion in expectations about the indicator value. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model, dispersion results from a perceived weak link between macroeconomic indicators and fundamentals that reduces the informational content of indicators, while higher fundamental uncertainty makes this informational content more valuable. 
650 4 |a expectation dispersion  |7 (dpeaa)DE-206 
650 4 |a uncertainty  |7 (dpeaa)DE-206 
650 4 |a macroeconomic news  |7 (dpeaa)DE-206 
650 4 |a stock market  |7 (dpeaa)DE-206 
650 4 |a event study  |7 (dpeaa)DE-206 
650 4 |a forecaster disagreement  |7 (dpeaa)DE-206 
655 4 |0 (DE-206)34  |a Graue Literatur  |5 DE-206 
700 1 |a Dovern, Jonas  |d 1980-  |e VerfasserIn  |0 (DE-588)132157322  |0 (DE-627)518497739  |0 (DE-576)298976013  |4 aut 
700 1 |a Enders, Zeno  |d 1977-  |e VerfasserIn  |0 (DE-588)1042697515  |0 (DE-627)76941379X  |0 (DE-576)343512777  |4 aut 
810 2 |a CESifo GmbH  |t CESifo working papers  |v no. 8801 (2020)  |9 8801  |w (DE-627)340076984  |w (DE-576)281209073  |w (DE-600)2065232-X  |x 2364-1428  |7 am 
856 4 0 |u https://www.cesifo.org/DocDL/cesifo1_wp8801.pdf  |x Verlag  |z kostenfrei 
856 4 0 |u https://www.cesifo.org/en/publikationen/2020/working-paper/expectation-dispersion-uncertainty-and-reaction-news  |x Verlag  |z kostenfrei 
856 4 0 |u http://hdl.handle.net/10419/232398  |x Resolving-System  |z kostenfrei 
951 |a BO 
992 |a 20210209 
993 |a WorkingPaper 
994 |a 2020 
998 |g 1042697515  |a Enders, Zeno  |m 1042697515:Enders, Zeno  |d 180000  |d 181000  |e 180000PE1042697515  |e 181000PE1042697515  |k 0/180000/  |k 1/180000/181000/  |p 3  |y j 
999 |a KXP-PPN1744372543  |e 3850260623 
BIB |a Y 
JSO |a {"name":{"displayForm":["Benjamin Born, Jonas Dovern, Zeno Enders"]},"origin":[{"dateIssuedDisp":"December 2020","publisher":"CESifo, Center for Economic Studies & Ifo Institute","publisherPlace":"Munich, Germany","dateIssuedKey":"2020"}],"id":{"eki":["1744372543"],"hdl":["10419/232398"]},"recId":"1744372543","relMultPart":[{"physDesc":[{"extent":"Online-Ressource"}],"note":["Gesehen am 30.04.25"],"language":["eng"],"disp":"CESifo working paper","corporate":[{"role":"aut","roleDisplay":"VerfasserIn","display":"CESifo GmbH"},{"role":"isb","display":"Ludwig-Maximilians-Universität München","roleDisplay":"Herausgebendes Organ"}],"dispAlt":"CESifo GmbH: CESifo working papers","origin":[{"publisher":"[Verlag nicht ermittelbar]","dateIssuedDisp":"1991-","publisherPlace":"München","dateIssuedKey":"1991"}],"type":{"bibl":"serial","media":"Online-Ressource"},"part":{"number_sort":["8801"],"number":["no. 8801 (2020)"]},"titleAlt":[{"title":"CESifo working paper series"},{"title":"Working paper"},{"title":"CES working paper series"}],"title":[{"title":"CESifo working papers","title_sort":"CESifo working papers"}],"id":{"eki":["340076984"],"zdb":["2065232-X"],"issn":["2364-1428"],"hdl":["10419/19"]},"recId":"340076984","pubHistory":["Nr. 1.1991 -"]}],"language":["eng"],"title":[{"title_sort":"Expectation dispersion, uncertainty, and the reaction to news","title":"Expectation dispersion, uncertainty, and the reaction to news"}],"type":{"bibl":"book","media":"Online-Ressource"},"physDesc":[{"noteIll":"Illustrationen","extent":"1 Online-Ressource (circa 23 Seiten)"}],"person":[{"family":"Born","given":"Benjamin","roleDisplay":"VerfasserIn","display":"Born, Benjamin","role":"aut"},{"family":"Dovern","given":"Jonas","roleDisplay":"VerfasserIn","display":"Dovern, Jonas","role":"aut"},{"role":"aut","given":"Zeno","roleDisplay":"VerfasserIn","display":"Enders, Zeno","family":"Enders"}]} 
SRT |a BORNBENJAMEXPECTATIO2020 

Similar Items