News and Asset Pricing: A High-Frequency Anatomy of the SDF
Publication
, Journal Article
Aleti, S; Bollerslev, T
Published in: Review of Financial Studies
March 1, 2025
Utilizing real-time newswire data, together with a robustly estimated intraday stochastic discount factor (SDF), we identify and quantify the economic news that is priced. News related to monetary policy and finance on average accounts for most of the variation in the SDF, followed by news about international affairs and macroeconomic data. We also document nontrivial temporal variation in the relative importance of the news, along with marked differences in the estimated news risk premiums in the "factor zoo."To further highlight the economic mechanisms at work, we associate the different news effects with interest rate, growth, and risk premium shocks.
Duke Scholars
Published In
Review of Financial Studies
DOI
EISSN
1465-7368
ISSN
0893-9454
Publication Date
March 1, 2025
Volume
38
Issue
3
Start / End Page
712 / 759
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
- 1401 Economic Theory
Citation
APA
Chicago
ICMJE
MLA
NLM
Aleti, S., & Bollerslev, T. (2025). News and Asset Pricing: A High-Frequency Anatomy of the SDF. Review of Financial Studies, 38(3), 712–759. https://doi.org/10.1093/rfs/hhae019
Aleti, S., and T. Bollerslev. “News and Asset Pricing: A High-Frequency Anatomy of the SDF.” Review of Financial Studies 38, no. 3 (March 1, 2025): 712–59. https://doi.org/10.1093/rfs/hhae019.
Aleti S, Bollerslev T. News and Asset Pricing: A High-Frequency Anatomy of the SDF. Review of Financial Studies. 2025 Mar 1;38(3):712–59.
Aleti, S., and T. Bollerslev. “News and Asset Pricing: A High-Frequency Anatomy of the SDF.” Review of Financial Studies, vol. 38, no. 3, Mar. 2025, pp. 712–59. Scopus, doi:10.1093/rfs/hhae019.
Aleti S, Bollerslev T. News and Asset Pricing: A High-Frequency Anatomy of the SDF. Review of Financial Studies. 2025 Mar 1;38(3):712–759.
Published In
Review of Financial Studies
DOI
EISSN
1465-7368
ISSN
0893-9454
Publication Date
March 1, 2025
Volume
38
Issue
3
Start / End Page
712 / 759
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
- 1401 Economic Theory