@misc{10481/31542,
year = {2008},
url = {http://hdl.handle.net/10481/31542},
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.},
organization = {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},
keywords = {Markov switching model},
keywords = {Macroeconomic announcements},
keywords = {Stock returns},
title = {Effects of macroeconomic announcements on stock returns across volatility regimes},
author = {Aray, Henry},
}