Abstract
We use intra-day data to precisely estimate risk premia of portfolios mimicking scheduled macroeconomic announcements. Average risk premia are consistently positive (negative) for macro variables affecting positively (negatively) bond prices. Mimicking-portfolio Sharpe ratios are remarkably similar (in absolute value) across announcements, consistent with a single economic-news factor driving returns at announcement times. The premium associated with the economic-news factor is time-varying, increasing (decreasing) with the level of interest rates (economic activity), and mainly earned before announcement releases and during inflation announcements. Economic-news betas explain bond risk premia at least as well as short-rate betas.
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