Following earlier work on macro announcements effects, there is a paper that states that macroeconomics are associated with approximately half of the equity premium. Now this seems like a large number, but earlier works has argued that 100% of the equity risk premium is associated with selected macroeconomic days and over half the days in the sample may be announcement days. This may be due to sample selection. See "More than 100% of the equity premium: How much is really earned on macroeconomic announcement days?"
When all announcements are included, the Sharpe ratio between announcement and non-announcement days are approximately equal. They conclude that these days are not so special.
This is a good piece of research, but we do know that some days are more important than others, so a selected sample of special announcement days seems reasonable. If we condition on the size of the announcement, the excess return may be even greater. Nevertheless, this research should temper any investor who thinks he can just buy announcement dates as the road to riches.
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