This paper shows that the University of Michigan’s ”Survey of Consumers“ can be useful in predicting the direction of change in five U.S. dollar exchange rates. The explanatory power, however, is contingent on the particular survey question employed and the forecast horizon under...

This study investigates the economic underpinnings of the Fama and French three-factor (FF3) model. We evaluate the impact of surprises in 23 different types of macroeconomic announcements on stock returns in the framework of the CAPM and the FF3 model. The relative merit of the FF3 model is...

This paper examines how investors assimilate information obtained from a set of German and U.S. macroeconomic news releases, and register their response on German closed-end fund net asset values (NAVs) and share prices. Specifically, three German Funds traded in the NYSE are chosen and their...

In this study we analyze the reaction of daily cash and futures prices for several Treasury securities to the release of U.S. macroeconomic news. Some important results are reported. First, consistent with the notion of market integration, the futures market is found to be cointegrated with the...