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The effects of macroeconomic announcements on equity returns and their connections to Fama-French factors
Arshanapalli, Bala Gangadhar; Nelson, William; Switzer, … - In: Applied financial economics 20 (2010) 16/18, pp. 1257-1267
Persistent link: https://www.econbiz.de/10009010948
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The role of jump dynamics in the risk-return relationship
Arshanapalli, Bala Gangadhar; Fabozzi, Frank J.; … - In: International review of financial analysis 29 (2013), pp. 212-218
Persistent link: https://www.econbiz.de/10010244955
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Green investing : is it different from socially responsible investing?
Mallett, James E.; Michelson, Stuart E. - In: International journal of business 15 (2010) 4, pp. 395-410
Persistent link: https://www.econbiz.de/10008697774
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The Effects of Macroeconomic Announcements on Equity Returns and Their Connections to Fama-French Factors
Arshanapalli, Bala - 2011
By employing daily data we investigated the relationship between the role of macroeconomic announcements and equity returns via their connection to Fama-French Factors. Macroeconomic announcements had a profound effect on equity returns, the Fama-French factors, and Momentum. We find that the...
Persistent link: https://www.econbiz.de/10013124155