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Effects Of Macroeconomic Announcements On Stock Returns Across Volatility Regimes

In: Marketing And Management Sciences

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  • HENRY ARAY

    (Departamento de Teoría e Historia Económica, University of Granada, Campus de la Cartuja, 18011 Granada, Spain)

Abstract

This article presents evidence on the effects of macroeconomic announcements on individual stocks returns across two volatility regimes: one with high volatility and the other with low volatility. At 5% level of significance, the response of stock returns to macroeconomic announcements is much stronger in the low volatility regime. However, the effects of the Fama-French factors is unambiguously significant in both regimes.

Suggested Citation

  • Henry Aray, 2010. "Effects Of Macroeconomic Announcements On Stock Returns Across Volatility Regimes," World Scientific Book Chapters, in: Damianos P Sakas & Nikolaos Konstantopoulos (ed.), Marketing And Management Sciences, chapter 14, pages 76-80, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781848165106_0014
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    References listed on IDEAS

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    1. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    2. 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.
    3. 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.
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    More about this item

    Keywords

    Management; Organizational Behavior; Marketing; Negotiation; Dynamic Models; International Business; Strategic Business; Human Resource;
    All these keywords.

    JEL classification:

    • O30 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - General

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