Effects of Macroeconomic Announcements on Stock Returns across Volatility Regimes
AbstractBased on a simple Markov regime switching model, this article presents evidence on the effects of macroeconomic announcements on individual stocks returns. The model specification allows two regimes to be distinguished: one with high volatility and the other with low volatility. Considering the level of significance at 5%, the response of stock returns to macroeconomic announcements is much stronger in the low volatility regime. However, the effects of the Fama-French factors on individual stock returns is unambiguously significant in both regimes.
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Bibliographic InfoPaper provided by Department of Economic Theory and Economic History of the University of Granada. in its series ThE Papers with number 08/17.
Length: 10 pages
Date of creation: 30 Dec 2008
Date of revision:
Markov Switching Model; Macroeconomic announcements; Stock Returns.;
Find related papers by JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-03-28 (All new papers)
- NEP-MAC-2009-03-28 (Macroeconomics)
- NEP-RMG-2009-03-28 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Regúlez Castillo, Marta & Gardeazabal, Javier, 2002.
"A factor model of seasonality in stock returns,"
DFAEII Working Papers
2002-19, University of the Basque Country - Department of Foundations of Economic Analysis II.
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