Working Paper: How news affects sectoral stock prices through earnings expectations and risk premia

Working Paper - February 2021 - No. 168

Authors Hvid, Anna Kirstine; Kristiansen, Kristian Loft
Subject Financial markets
Type Working paper
Year 2021
Published 2 February 2021
Abstract icon We show that the transmission of news to prices goes through a combination of changing earnings expectations and risk premia. Price changes for especially the financial sector are mainly driven by changes in equity risk premia, while changes in earnings expectations play a comparatively larger role for other sectors.