Gosnell, Thomas; Nejadmalayeri, Ali - In: Managerial Finance 36 (2010) July, pp. 566-582
Purpose – The purpose of this paper is to determine if macroeconomic announcements affect the Fama-French market, size, book-to-market risk factors and momentum factor. Design/methodology/approach – Using unexpected announcements of major macroeconomic indicators, a study is made of how...