Effects of Macroeconomic Announcements on Stock Returns across Volatility Regimes

Henry Aray ()

No 08/17, ThE Papers from Department of Economic Theory and Economic History of the University of Granada.

Abstract: 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.

Keywords: Markov Switching Model; Macroeconomic announcements; Stock Returns. (search for similar items in EconPapers)
JEL-codes: E44 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac and nep-rmg
Date: 2008-12-30
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Persistent link: http://EconPapers.repec.org/RePEc:gra:wpaper:08/17

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