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Stats › Intraday and market microstructure › Announcement days

Thirteen percent of trading days carried over 60% of the equity premium

Announcement days 1958 to 2009: 11.40+11.40Announcement days1958 to 2009Other days 1958 to 2009: 1.10+1.10Other days1958 to 2009Announcement days 1961 to 2023: 10.68+10.68Announcement days1961 to 2023Other days 1961 to 2023: 0.93+0.93Other days1961 to 2023

Daily excess return in basis points. The left pair is the original study, the right pair an independent team extending the sample by fourteen years. The announcement-day figures differ by less than a basis point across two samples and two research groups.

Scheduled macro releases take up about one trading day in eight. Over 1958 to 2009 those days returned 11.4 basis points against 1.1 on every other day, and that 1.1 is not statistically different from zero.

11.4 bpReturn on scheduled announcement days, 1958 to 2009, against 1.1 on other days
t = 1.29On the 1.1 basis points earned across all other days: not significant
Over 60%Share of cumulative annual excess return earned on about 13% of days
0.027Announcement-day daily Sharpe ratio, against 0.029 for all days

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Below this point there are 5 sections and 4 named sources, roughly 550 words of it. Every figure carries the source it came from and the date the data is from.

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