Authors Adlai J. Fisher, Charles Martineau, and Jinfei Sheng construct indices of media attention to macroeconomic risks including employment, growth, inflation, monetary policy, and oil prices. Not surprisingly bad news attracts more media attention than good news however the authors also show that aggregate trade volume and volatility coincide with rising attention. Furthermore, they find that increased media attention can predict market surprises as well as stock returns on unemployment announcement days.
As the authors conclude: “attention dynamics reveal changing investor concerns for different macroeconomic risks over time, and that these attention dynamics are important to understanding financial markets.”
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