This study examines the impact of prescheduled macroeconomic announcements on stock returns in the Korean financial market. First, when base rate, inflation rate, and unemployment rate are released, investors obtain significantly high returns for high beta stocks on days with prescheduled macroeconomic news. This indicates that the beta is an important risk determinant to get high risk premiums on such days, or that the beta is alive on announcement days and dead on non-announcement days. Second, stock returns itself increase on macroeconomic announcement days, indicating that there are absolute positive effects on the asset returns when we receive macroeconomic news. This implies that investors require high returns on announcement days because they absorb the consequent stock return risk. Third, we test the effects of the stock returns’ beta on the macroeconomic announcements and the effects of the announcements on the stock returns using various estimated beta and asset pricing models. Finally, we explore the various findings and implications thereof on the Korean financial market. 

JEL classification: G11, G12

Keywords: CAPM, Beta, Macroeconomic announcements, Risk premium​