摘要：This study provides evidence that stock market participants revise their forecasting strategies in response to macroeconomic news contingent on the state of the economy. This study utilizes Mangee (2011)'s novel dataset based on textual information contained in Bloomberg News's end-of-the-day stock market reports. A key finding is that macroeconomic news is reported to impact stock prices with a positive relation on some days and a negative one on others. The Bloomberg data show that, on average, economic considerations matter positively for stock prices during both expansions and contractions, but the degree to which macroeconomic news matters negatively rises dramatically during expansions. However, the Bloomberg data suggests that the connection between macroeconomic news and stock prices is much more unstable than what has been previously reported. In particular, the qualitative impact of economic considerations is not constant across expansionary periods. Furthermore, net market psychology associated with economic considerations is found to decline sharply leading up to and during sustained economic contractions. The results are consistent with theoretical accounts of asset price fluctuations which recognize that market participants imperfection of knowledge underpins the temporal indeterminacy of fundamentals-based relations.
关键词：stock prices ; business cycle ; contingent change
