S&P 500 Large Moves

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We evaluate the role of policy and other news developments by consulting newspaper articles about large daily moves in the S&P 500 equity market index. Specifically, we examine the next-day New York Times for each daily move in the S&P 500 greater than 2.5%, up or down. There were 290 such moves from 1980 to 2011, including 120 from 2008 to 2011.

The next-day New York Times typically contains a prominent article that attributes the large daily move to a specific triggering event or piece of news. We classify these attributions into the broad categories: macroeconomic reports and outlook (e.g., employment data releases), corporate earnings and profit outlook, Federal Reserve interest rate actions, other government policy developments (e.g, related to taxes, regulations, unconventional monetary policy actions), terrorist attacks and military conflict, and other/unknown.