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Fundamentals, Macroeconomic Announcements and Asset Prices

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  • Aymen Belgacem

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

The aim of this paper is to study the impact of macroeconomic announcements on asset prices, with the objectives of both measuring the average response of stock returns to macroeconomic news surprises, and explaining the sources of such a reaction. To assess the importance of scheduled French and US macroeconomic announcements, Stock returns are analyzed on the French stock market. It is shown that, according to previous studies, there is little evidence of the reaction of the market to those surprises. News about inflation, U.S consumption and real economic activity are specially expected by investors. It confirms the leading role of the U.S. economy and in particular of U.S. consumers in determining the development of the world economy and the dynamics of stock markets. Results also show that unexpected positive surprise in the unemployment rate causes a cut on future excess returns and future dividends. The opposite reaction is observed from the housing starts indicator. The consumer price index appears to have an impact not only on future excess returns, but also on future real interest rates.

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  • Aymen Belgacem, 2009. "Fundamentals, Macroeconomic Announcements and Asset Prices," Working Papers hal-04140878, HAL.
    • Handle: RePEc:hal:wpaper:hal-04140878
    Note: View the original document on HAL open archive server: https://hal.science/hal-04140878
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    References listed on IDEAS

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