Gosnell, Thomas; Nejadmalayeri, Ali - In: Managerial Finance 36 (2010) July, pp. 566-582
, book-to-market risk factors and momentum factor. Design/methodology/approach – Using unexpected announcements of major … macroeconomic indicators, a study is made of how daily innovations of risk factors react to macroeconomic shocks. In a Flannery and … Protopapadakis framework, the impact of macroeconomics surprises on the levels and volatilities of the risk factors is measured. A …