  We study association between macroeconomic news and stock market returns
using the statistical theory of copulas, and a new comprehensive measure of
news based on the indexing of news wires. We find the impact of economic news
on equity returns to be nonlinear and asymmetric. In particular, controlling
for economic conditions and surprises associated with releases of economic
data, we find that the market reacts strongly and negatively to the most
unfavourable macroeconomic news, but appears to largely discount the good news.
This relationship persists throughout the different stages of the business
cycle.
