Abstract
We investigate macroeconomic investment strategies that follow a simple switching approach: on days when important macroeconomic news is announced, the investor invests in the stock market; on other days, the investor invests in the risk-free asset. This type of strategy displays better risk-return characteristics than a long-only investment does. Asset pricing tests also indicate that the market risk premium is significantly higher on announcement days (ADs) than on non-announcement days. In contrast, returns of the size and value factors are not significantly higher on ADs than on the others. Returns of this type of strategy can be improved by the use of lagged information.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
