Effects of macroeconomic announcements on stock returns across volatility regimes Aray, Henry Markov switching model Macroeconomic announcements Stock returns 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. 2014-05-05T09:15:03Z 2014-05-05T09:15:03Z 2008 report 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] http://hdl.handle.net/10481/31542 eng The Papers;08/17 http://creativecommons.org/licenses/by-nc-nd/3.0/ open access Creative Commons Attribution-NonCommercial-NoDerivs 3.0 License Universidad de Granada. Departamento de Teoría e Historia Económica