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Please use this identifier to cite or link to this item: http://hdl.handle.net/10481/31542

Title: Effects of macroeconomic announcements on stock returns across volatility regimes
Authors: Aray, Henry
Issue Date: 2008
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.
Sponsorship: Financial support from the Spanish Ministry of Education and Science, through Project SEJ2007-62081/ECON.
Publisher: Universidad de Granada. Departamento de Teoría e Historia Económica
Series/Report no.: The Papers;08/17
Keywords: Markov switching model
Macroeconomic announcements
Stock returns
URI: http://hdl.handle.net/10481/31542
Rights : Creative Commons Attribution-NonCommercial-NoDerivs 3.0 License
Citation: Aray, H. Effects of macroeconomic announcements on stock returns across volatility regimes. Universidad de Granada. Departamento de Teoría e Historia Económica (2008). (The Papers; 08/17). [http://hdl.handle.net/10481/31542]
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