Stock Market's Reaction to Employment News: Bad News is Not Good Anymore

Badrinath Kottimukkalur
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Abstract

I document a shift in the stock market's reaction to employment news beginning early 2000s. Good employment news increases stock prices during expansions but has no effect during recessions. Overall, good employment news is good for stocks, a shift from the relationship documented in earlier studies. Furthermore, good employment news continues to decrease bond returns. The opposite response of stock and bond returns to employment news is consistent with the negative stock and bond return correlation in recent times. Risk premium drives the recent stock price reaction to employment news whereas interest rate was the dominant channel prior to 2000s.
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股市对就业消息的反应:坏消息不再是好消息
我记录了从21世纪初开始股市对就业新闻反应的转变。良好的就业消息会在经济扩张期间推高股价,但在经济衰退期间却没有作用。总的来说,良好的就业消息对股市有利,这与早期研究中记录的关系有所不同。此外,就业利好消息继续降低债券回报率。股票和债券回报对就业消息的相反反应与近期股票和债券回报负相关是一致的。风险溢价推动了近期股票价格对就业消息的反应,而在2000年之前,利率是主要渠道。
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