Big Beautiful Numbers: The Impact of Governmental Data on Firms' Valuations

I use the prices of financial options to study the value of macroeconomic data produced by the Bureau of Labor Statistics and the Bureau of Economic Analysis. I show that options traders expect several data products to contain information relevant to valuations of firms throughout the economy. The most affected firms tend to be larger and more capital-intensive. Traders especially anticipate data releases in more recent years and in periods of high uncertainty about economic policy. Traders expect more relevant information from U.S. government data products than from Federal Reserve policy statements and minutes.