The impact of macroeconomic announcements on stock prices: In search of state dependence

Federal bureaus make regularly scheduled public announcements of macroeconomic variables such as employment, the price level, and the money stock. Recently, several studies claim to establish an empirical relationship between the impact of these announcements on financial markets and the state of the business cycle. The present article estimates the impact of several announcement variables on daily closing values of the Standard and Poor's (S&P) 500. Contrary to previous studies, this study finds no significant evidence that the marginal effects of announcements vary with the state of the economy.