On Thursday 11 June 2015 Justinas Brazys will defend his PhD thesis entitled ‘Aggregated macroeconomic news and price discovery’. Supervisor is professor Willem Verschoor (Faculty of Economics and Business Administration - VU Asterdam) and co-supervisor is Professor Martin Martens (Erasmus School of Economics - Erasmus University Rotterdam). Other members of the Doctoral Committee are Professor Mathijs van Dijk (Rotterdam School of Management - Erasmus University Rotterdam), Professor Dick van Dijk (Erasmus School of Economics - Erasmus University Rotterdam) and Professor Han Smit (Erasmus School of Economics - Erasmus University Rotterdam).
Time and location
The PhD defence will take place in the Senate Hall of Erasmus University Rotterdam and will start at 09.30 hrs.
About Justinas Brazys
Justinas Brazys (1986) obtained his BSc. degree in Statistics (2009) at Vilnius University and his master’s degree in Quantitative Finance and Actuarial Science at Tilburg University (2010, cum laude). In 2011 he continued his studies as a PhD-candidate at the Erasmus Research Institute of Management (ERIM) - joint research institute of Erasmus School of Economics (ESE) and Rotterdam School of Management (RSM) the Department of Business Economics. His work has been presented at numerous international academic conferences, including Australasian Banking and Finance in Sydney, Australia (2012, 2013), and European Financial Management Association meetings in Reading, UK (2013) and Rome, Italy (2014).
Abstract of 'Aggregated macroeconomic news and price discovery'
Is there a link between asset prices and economic fundamentals? Many studies fail to find a convincing link and conclude that asset prices and economic fundamentals are disconnected. A famous example of the disconnect between exchange rates and macroeconomic fundamentals is presented in Meese and Rogoff (1983). The main success connecting asset prices to economic fundamentals is in very short periods immediately after macroeconomic announcements (e.g. Andersen et al., 2007). However, individual announcements are much less important in the medium term. The reason is that medium term returns are contaminated by other types of news (including economic news) unrelated to the news analyzed.<ins cite="mailto:Justinas" datetime="2015-02-25T13:14"> </ins>Therefore simultaneously relating medium term asset returns to a large number of economic news announcements can provide means of mitigating contamination. This thesis provides evidence of a strong medium term relation between asset prices and economic fundamentals by using news aggregation and novel methods. While the literature documents that the link between asset prices and economic fundamentals, measured by R-squared<ins cite="mailto:Mehtap%20Kilic" datetime="2015-02-25T12:56">,</ins> does not exceed eight percent, this thesis shows that the R-squared can be as high as 27 percent.