The effects of macroeconomic announcements on equity returns and their connections to Fama-French factors
William Nelson and
Lorne Switzer ()
Applied Financial Economics, 2010, vol. 20, issue 16, 1257-1267
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.
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