Effects of Macroeconomic Announcements on Stock Returns across Volatility Regimes
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Other versions of this item:
- Henry Aray, 2010. "Effects Of Macroeconomic Announcements On Stock Returns Across Volatility Regimes," World Scientific Book Chapters,in: Marketing And Management Sciences, chapter 14, pages 76-80 World Scientific Publishing Co. Pte. Ltd..
References listed on IDEAS
- Gardeazabal, Javier & Regulez, Marta, 2004. "A factor model of seasonality in stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 224-236, May.
- 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.
More about this item
KeywordsMarkov Switching Model; Macroeconomic announcements; Stock Returns.;
- 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
NEP fieldsThis 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)
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