Effects of Macroeconomic Announcements on Stock Returns across Volatility Regimes
Based 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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- 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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