By employing daily data we investigated the relationship between the role of macroeconomic announcements and equity returns via their connection to Fama-French (FF) factors. Macroeconomic announcements had a profound effect on equity returns, the FF factors and momentum. We find that the...

At the zero lower bound of the policy rate, monetary policy can still be effective through unconventional monetary policy measures and forward guidance affecting longer-term interest rates. We study whether the sensitivity of Canadian government bond yields to domestic and US macroeconomic data...