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

被引：10
|
作者：
Poitras, M [1 ]
机构：
[1] Univ Dayton, Dept Econ, Dayton, OH 45469 USA
来源：
SOUTHERN ECONOMIC JOURNAL | 2004年 / 70卷 / 03期
关键词：
D O I：
10.2307/4135330
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
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页码：549 / 565
页数：17
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