Gosnell, Thomas; Nejadmalayeri, Ali - In: Managerial Finance 36 (2010) 7, 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...