Economics at your fingertips  

The effects of macroeconomic announcements on equity returns and their connections to Fama-French factors

Bala Arshanapalli, William Nelson and Lorne Switzer ()

Applied Financial Economics, 2010, vol. 20, issue 16, 1257-1267

Abstract: By employing daily data we investigated the relationship between the role of macroeconomic announcements and equity returns via their connection to Fama-French (FF) factors. Macroeconomic announcements had a profound effect on equity returns, the FF factors and momentum. We find that the information in macroeconomic announcements are not totally captured by FF factors and momentum. This casts some doubt on the risk-based explanation of FF factors as reflections of macroeconomic risks.

Date: 2010
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

DOI: 10.1080/09603107.2010.485925

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Page updated 2021-05-15
Handle: RePEc:taf:apfiec:v:20:y:2010:i:16:p:1257-1267