The Effects of Macroeconomic Announcements on Equity Returns and Their Connections to Fama-French Factors
Posted: 7 Jun 2011
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: 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
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