Effects of macroeconomic announcements on stock returns across volatility regimes
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 leve...
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| Tipo de recurso: | informe técnico |
| Fecha de publicación: | 2008 |
| País: | España |
| Institución: | Universidad de Granada (UGR) |
| Repositorio: | Digibug. Repositorio Institucional de la Universidad de Granada |
| Idioma: | inglés |
| OAI Identifier: | oai:digibug.ugr.es:10481/31542 |
| Acceso en línea: | http://hdl.handle.net/10481/31542 |
| Access Level: | acceso abierto |
| Palabra clave: | Markov switching model Macroeconomic announcements Stock returns |
| Sumario: | 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. |
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