EFFECTS OF MACROECONOMIC ANNOUNCEMENTS ON STOCK RETURNS ACROSS VOLATILITY REGIMES

Henry Aray ()

Chapter 14 in Marketing and Management Sciences, 2010, pp 76-80 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis 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.

Keywords: Management, Organizational Behavior, Marketing; Negotiation, Dynamic Models, International Business, Strategic Business, Human Resource, (search for similar items in EconPapers)
JEL-codes: O30 (search for similar items in EconPapers)
Date: 2010
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Working Paper: Effects of Macroeconomic Announcements on Stock Returns across Volatility Regimes (2008)
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