(1) Media Attention, Macroeconomic Fundamentals, and Stock Market Activity. (SSRN) With Adlai J. Fisher and Jinfei Sheng
We create daily indices of media attention to macroeconomic fundamentals including unemployment, output growth, inflation, monetary policy, exchange rates, and oil prices. The measures are imperfectly correlated, showing time-varying attention to different economic risks at a variety of frequencies. Economic announcements drive short-term movements, and we identify the types of announcements that receive the most attention. Lower-frequency shifts in attention strongly relate to macroeconomic fundamentals. Controlling for economic announcements, attention is linked to variations in stock market implied volatility and trading volume.
In an effort to increase transparency, the Chair of the Federal Reserve now holds a press conference following some, but not all, Federal Open Market Committee announcements. Press conferences are scheduled independently of economic conditions and communicate little additional information relative to the announcements. Using media coverage and Google searches, we show that investors shift attention away from announcements without press conferences. This inattention hinders the Fed's attempts to coordinate market expectations and therefore prevents effective monetary policy. Consequently, evidence from equity and derivative markets demonstrates that investors lower their expectations of major policy actions on days without press conferences.
Work in Progress:
(1) How Markets Process Firm News (thesis chapter 1 and JMP)
(2) Stock Price Formation around Macroeconomic Announcements (thesis chapter 2)
Research Assistance (at UBC):
Calvet, L., Fearnley, M., Fisher, A., and Leippold, M. (2015) What's Beneath the Surface? Option Pricing with Multifrequency Latent States. Journal of Econometrics.
Calvet, L. and Fisher, A. (2013) Extreme Risk and Fractal Regularity in Finance. Fractals in Applied Mathematics, D. Carfi, M. Lapidus, E. Pearse and M. van Frankenhuijsen eds., Contemporary Mathematics, American Mathematical Society.
Published Research (at HEC Montreal):
Do Political Institutions Affect the Choice of the U.S. Cross-Listing Venue? with Jean-Claude Cosset and Anis Samet. Journal of Multinational Financial Management.
International Involvement of Established SMEs: A Systematic Review of Antecedents, Outcomes, and Moderators with David Pastoriza-Rivas. International Business Review.
Published Business Case Study (at HEC Montreal):
iMag. with David Pastoriza Rivas. (2013). International Journal of Business Case Studies in Management. Available on Harvard Business Publishing.
Microstructure Data Codes:
TotalView ITCH 4.1 (SAS, as of Aug. 2013) available here.
I will post additional codes for ITCH 4.1 and 5.0 using Python. Vincent Gregoire and I are currently working on a Python package to process ITCH data. SAS is definitely not appropriate to handle ITCH data but useful for initial understanding of the data.