Timing of pricing-in of scheduled macroeconomic announcements

Determine how many days prior to scheduled U.S. macroeconomic news announcements information is incorporated into U.S. stock prices, and characterize how this timing parameter evolves over time.

Background

The paper argues that event-window evidence on market reactions to macroeconomic announcements is not directly suitable for forecasting because the timing of effects can occur before, during, or after announcements and may vary over time. To address this, the authors construct attention and sentiment indices around ten major macroeconomic variables, thereby bypassing the need to set a fixed lead time.

Despite their proposed proxy-based approach, the authors explicitly acknowledge uncertainty regarding the lead time with which markets price in scheduled macroeconomic news, noting that this timing is unknown and likely time-varying. Establishing the temporal profile of pricing-in would improve specification and calibration of volatility forecasting models that incorporate macroeconomic information.