We investigate the quality of the information that macroeconomic news conveys to the stock market about future business conditions. Our econometric approach is consistent with the decision problem of an investor concerned with ambiguity, which allows us to recover a theoretically motivated and empirically tractable proxy of time-varying ambiguity in the stock market. We find the stock market reacts more strongly to negative rather than positive real and monetary macroeconomic news, which is consistent with the predictions of the ambiguity literature. Further, the indirect effect of ambiguous news on investors’ loss of confidence in the signal can contribute up to 80% of the stock market’s reaction. Our findings offer a potential explanation for the weak results of the prior early literature using low-frequency data; they also offer an alternative explanation for the apparent counterintuitive results of the more recent literature using high-frequency data.

中文翻译：

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不明朗下股市对宏观经济消息的反应

我们调查宏观经济新闻向股市传达的有关未来商业状况的信息的质量。我们的计量经济学方法与关注模糊性的投资者的决策问题一致，这使我们能够恢复股票市场中随时间变化的模糊性的理论动机和经验上易于处理的代理。我们发现股票市场对负面而非正面的实际和货币宏观经济消息的反应更强烈，这与歧义文献的预测一致。此外，模棱两可的消息对投资者对信号失去信心所产生的间接影响可能会造成高达 80% 的股市反应。我们的发现为使用低频数据的先前早期文献的弱结果提供了潜在的解释；