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Are Pre-Scheduled Macroeconomic News Days Different From Other Days? – A Cross-Sectional Analysis of the Swedish Stock Market

Wendeberg, Andreas LU and Kejlberg, Sebastian LU (2014) NEKH01 20141
Department of Economics
Abstract
This thesis has examined if there is any difference in the relationship between different risk factors and the cross-section of assets excess returns on the Swedish stock market between days when macroeconomic news is scheduled to be announced (announcement days) and other days (normal days). The Fama and Macbeth two-pass regression method have been used for investigating the hypothesis that announcement days are different from normal days. The main results illustrate that there is no difference between announcement days and normal days in general, but for the time period 2010-2013 there is a clear difference between the two kinds of days. On announcement days, some of the implications of the CAPM hold, which is no intercept and a positive... (More)
This thesis has examined if there is any difference in the relationship between different risk factors and the cross-section of assets excess returns on the Swedish stock market between days when macroeconomic news is scheduled to be announced (announcement days) and other days (normal days). The Fama and Macbeth two-pass regression method have been used for investigating the hypothesis that announcement days are different from normal days. The main results illustrate that there is no difference between announcement days and normal days in general, but for the time period 2010-2013 there is a clear difference between the two kinds of days. On announcement days, some of the implications of the CAPM hold, which is no intercept and a positive risk premium for market risk, but on normal days the CAPM does not holds. (Less)
Please use this url to cite or link to this publication:
author
Wendeberg, Andreas LU and Kejlberg, Sebastian LU
supervisor
organization
course
NEKH01 20141
year
type
M2 - Bachelor Degree
subject
keywords
the Fama-Macbeth regression, announcement days, CAPM, macroeconomic news, Swedish stock market
language
English
id
4647709
date added to LUP
2014-09-22 14:04:26
date last changed
2014-09-22 14:04:26
@misc{4647709,
  abstract     = {{This thesis has examined if there is any difference in the relationship between different risk factors and the cross-section of assets excess returns on the Swedish stock market between days when macroeconomic news is scheduled to be announced (announcement days) and other days (normal days). The Fama and Macbeth two-pass regression method have been used for investigating the hypothesis that announcement days are different from normal days. The main results illustrate that there is no difference between announcement days and normal days in general, but for the time period 2010-2013 there is a clear difference between the two kinds of days. On announcement days, some of the implications of the CAPM hold, which is no intercept and a positive risk premium for market risk, but on normal days the CAPM does not holds.}},
  author       = {{Wendeberg, Andreas and Kejlberg, Sebastian}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Are Pre-Scheduled Macroeconomic News Days Different From Other Days? – A Cross-Sectional Analysis of the Swedish Stock Market}},
  year         = {{2014}},
}