The Effects of Macroeconomic Announcements on Equity Returns and Their Connections to Fama-French Factors

Posted: 7 Jun 2011

See all articles by Bala Arshanapalli

Bala Arshanapalli

Indiana University Northwest - School of Business & Economics

William Nelson

Indiana University Northwest

Lorne Switzer

Concordia University, Quebec

Date Written: June 6, 2011

Abstract

By employing daily data we investigated the relationship between the role of macroeconomic announcements and equity returns via their connection to Fama-French Factors. Macroeconomic announcements had a profound effect on equity returns, the Fama-French factors, and Momentum. We find that the information in macroeconomic announcements are not totally captured by Fama-French Factors and Momentum. This casts some doubt on the risk based explanation of Fama-French factors as reflections of macroeconomic risks.

Keywords: Marcoeconomic announcements, Fama-French Factors

Suggested Citation

Arshanapalli, Bala and Nelson, William and Switzer, Lorne, The Effects of Macroeconomic Announcements on Equity Returns and Their Connections to Fama-French Factors (June 6, 2011). Applied Financial Economics, Vol. 20, No. 16, 2010, Available at SSRN: https://ssrn.com/abstract=1858884

Bala Arshanapalli (Contact Author)

Indiana University Northwest - School of Business & Economics ( email )

3400 Broadway
Gary, IN 46408
United States
219-980-6919 (Phone)

William Nelson

Indiana University Northwest ( email )

Gary, IN 46408
United States

Lorne Switzer

Concordia University, Quebec ( email )

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