Does the macro-announcement premium exist?

There has been found a macro-announcement premium associated with equity markets. There are high returns on announcement days relative to all other days which suggests that there is a risk premium associated with these special news days, yet a close look finds that the conditional return volatility does not drop after announcements. This stability with volatility is odd given the concept of an announcement risk premium. 

A new paper "Is There a Macro-announcement Premium?" funds that the average announcement return is associated with monetary policy surprises and small-sample problem. The announcement effect does not really exist for employment and inflation days. After monetary announcements and sampling are accounted for, there is little macro announcement premium.

This is very useful research since it answers some of the questions surrounding this announcement premium effect that has been found by other researchers. First, a careful review of the announcements shows the focus is on monetary announcements and not on other key announcements. Second, if we account for the sample of announcements, there is a significant change in the results. Overall, there is not a strong premium associated with macro-announcements. 

However, there is still a strong monetary policy announcement effect and the change in macro regime will have a big difference on the reaction to a given macro announcement. There are still high returns relative to risk, but the return pattern changes over time for those macro-announcements not associated with monetary policy.