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. (JEL C58, G12, G14)

中文翻译：

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新闻和资产定价：SDF 的高频剖析

利用实时新闻专线数据以及可靠估计的日内随机贴现因子 (SDF)，我们可以识别并量化已定价的经济新闻。平均而言，与货币政策和金融相关的新闻在 SDF 的变化中占了大部分，其次是有关国际事务和宏观经济数据的新闻。我们还记录了新闻相对重要性的显着时间变化，以及“因子动物园”中估计新闻风险溢价的显着差异。为了进一步强调起作用的经济机制，我们将不同的新闻影响与利率、增长和风险溢价冲击联系起来。 (JEL C58、G12、G14)