Delineating between fundamental and nonfundamental price moves is vital for investment practitioners because the former tend to be more persistent than the latter. This article describes an approach to isolating price moves that are driven by fundamental macroeconomic news. The authors use an event-study methodology at the intraday frequency to estimate typical reactions to macro news releases for a set of seven equity and six government bond markets. These are calculated on an expanding-window and exponentially weighted basis to account for time variation in these reactions. The primary innovation of this work is a measure of market mispricing that looks at deviations of market returns from the returns expected based on the authors’ estimated coefficients, which they calculate for each of these markets from 2015 to 2019. This measure provides an input for discretionary tactical asset allocation decisions. The correlation of this market mispricing measure with future returns provides support for the thesis that initial time-series momentum and later time-series reversion of asset returns reflect nonfundamental factors. TOPICS: Derivatives, financial crises and financial market history Key Findings • Because nonfundamental price moves mean revert faster than fundamental price moves, the R2 of macro news is higher at a low frequency than at a high frequency. • Intraday estimates of market price responses to macro news are more accurate than estimates based on daily time series because a short event-study window reduces concerns around endogeneity. • These intraday estimates can be used to now-cast market return potential and help find the deviation of those now-casts from actual returns. Cumulating these deviations over months of data indicates whether markets are mispriced relative to macro fundamentals. • Our measure of market mispricing helps predict future asset returns and provides broader context to discretionary tactical asset allocation decisions. • This measure also reveals more cleanly than previous research the time-series properties of nonfundamental price moves, with initial time-series momentum and later time-series reversal.

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价格多少？估计宏观经济新闻的市场错误定价

对于投资从业者，在基本价格变动和非基本价格变动之间进行区分至关重要，因为前者往往比后者更为持久。本文介绍一种隔离由基本宏观经济新闻驱动的价格变动的方法。作者使用事件研究方法在日间频率上估计一组七个股票市场和六个政府债券市场对宏观新闻发布的典型反应。这些是在扩展窗口和指数加权的基础上计算的，以解决这些反应中的时间变化。这项工作的主要创新之处在于衡量市场定价错误，该方法根据作者的估计系数来考察市场收益与预期收益之间的偏差，并根据作者估计的系数从2015年至2019年对每个市场进行计算。该措施为自由裁量战术资产分配决策提供了输入。这种市场定价错误措施与未来收益的相关性为以下论点提供了支持：资产收益的初始时间序列动量和后来的时间序列回归反映了非基本因素。主题：衍生产品，金融危机和金融市场历史主要发现•由于非基本价格变动意味着恢复速度快于基本价格变动，因此宏观新闻的R2低频频率高于高频频率。•市场价格对宏观新闻的反应的日内估算要比基于每日时间序列的估算更为准确，因为简短的事件研究窗口减少了对内生性的担忧。•这些日内估计值可用于预测现在的市场收益潜力，并帮助找到那些现在预测的与实际收益的偏差。通过数月的数据累计这些偏差，可以表明市场相对于宏观基本面是否定价错误。•我们对市场定价错误的衡量方法有助于预测未来资产收益，并为可自由裁量战术资产分配决策提供更广阔的背景。•与以前的研究相比，该措施还更清晰地揭示了非基本价格变动的时间序列属性，包括初始时间序列动量和后来的时间序列反转。•我们对市场定价错误的衡量方法有助于预测未来资产收益，并为可自由裁量战术资产分配决策提供更广阔的背景。•与以前的研究相比，该措施还更清晰地揭示了非基本价格变动的时间序列属性，包括初始时间序列动量和后来的时间序列反转。•我们对市场定价错误的衡量方法有助于预测未来资产收益，并为可自由裁量战术资产分配决策提供更广阔的背景。•与以前的研究相比，该措施还更清晰地揭示了非基本价格变动的时间序列属性，包括初始时间序列动量和后来的时间序列反转。