We find large overnight returns with no abnormal variance before nonfarm payrolls, ISM, and GDP announcements, similar to the pre-FOMC returns. To explain this common pattern, we propose a two-risk model with the uncertainty about the magnitude of the impending news’ market impact as an additional risk, and link the pre-announcement return directly to the accumulation of heightened uncertainty and its later resolution prior to the announcement. We empirically test and verify the model’s distinct predictions on the joint intertemporal behavior of return, variance, and particularly VIX – a gauge of impact uncertainty by our model, surrounding macroeconomic announcements.

我们发现在非农就业数据、ISM 和 GDP 公告之前，隔夜收益很大，没有异常变化，类似于 FOMC 之前的收益。为了解释这种常见模式，我们提出了一个双风险模型，将即将发布的新闻对市场影响程度的不确定性作为附加风险，并将公告前的回报直接与高度不确定性的积累及其随后的解决方案联系起来到公告。我们凭经验测试和验证模型对回报、方差，尤其是 VIX 的联合跨期行为的独特预测——我们的模型衡量影响不确定性的指标，围绕宏观经济公告。