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.
|Date of creation:||30 Dec 2008|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.ugr.es/local/teoriaheEmail:
More information through EDIRC
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.:
- 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.
When requesting a correction, please mention this item's handle: RePEc:gra:wpaper:08/17. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angel Solano Garcia.)
If references are entirely missing, you can add them using this form.