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2020-12Diskussionspapier DOI: 10.18452/22284
Expectation dispersion, uncertainty, and the reaction to news
dc.contributor.authorBorn, Benjamin
dc.contributor.authorDovern, Jonas
dc.contributor.authorEnders, Zeno
dc.date.accessioned2021-01-05T11:37:41Z
dc.date.available2021-01-05T11:37:41Z
dc.date.issued2020-12none
dc.identifier.urihttp://edoc.hu-berlin.de/18452/22934
dc.description.abstractReleases 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.eng
dc.language.isoengnone
dc.publisherHumboldt-Universität zu Berlin
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectExpectation dispersioneng
dc.subjectuncertaintyeng
dc.subjectmacroeconomic newseng
dc.subjectstock marketeng
dc.subjectevent studyeng
dc.subjectforecaster disagreementeng
dc.subject.ddc330 Wirtschaftnone
dc.titleExpectation dispersion, uncertainty, and the reaction to newsnone
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/22934-6
dc.identifier.doihttp://dx.doi.org/10.18452/22284
local.edoc.container-titleWorking Papers of the Priority Programme 1859 – Experience and Expectation. Historical Foundations of Economic Behaviournone
local.edoc.container-creatorAlexander Nützenadel, Jochen Streb
local.edoc.pages23none
local.edoc.type-nameDiskussionspapier
local.edoc.institutionPhilosophische Fakultätnone
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume29none
dc.description.versionNot Reviewednone
local.edoc.container-erstkatid2916406-0
dc.identifier.eissn2510-053X

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