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| Content Provider | Springer Nature Link |
|---|---|
| Author | Díaz, Antonio Jareño, Francisco |
| Copyright Year | 2012 |
| Abstract | Previous studies of the short-run response of daily stock prices to announcements of macroeconomic news could be biased when responses in different scenarios cancel each other out. In our analysis of inflation news in the Spanish stock market, we consider market direction arguments and implement our study based on the sector of activity to control for the ‘flow-through’ ability of the firms in each industry. In general, our results are quite consistent with the ‘market direction’ and the ‘flow-through’ hypotheses. Unanticipated inflation news implies abnormal returns depending on the direction of the news, the state of the economy and the flow-through ability of the sector. The impact of positive surprises affects the abnormal returns of many more sectors than does the impact of negative surprises, especially in the low states of economy. These significant effects are mainly observed in industries that are characterised by low flow-through ability. |
| Starting Page | 775 |
| Ending Page | 798 |
| Page Count | 24 |
| File Format | |
| ISSN | 03777332 |
| Journal | Empirical Economics |
| Volume Number | 44 |
| Issue Number | 2 |
| e-ISSN | 14358921 |
| Language | English |
| Publisher | Springer-Verlag |
| Publisher Date | 2012-03-14 |
| Publisher Place | Berlin, Heidelberg |
| Access Restriction | One Nation One Subscription (ONOS) |
| Subject Keyword | Inflation announcement Stock return Flow-through ability Market direction hypothesis Econometrics Statistics for Business/Economics/Mathematical Finance/Insurance Economic Theory |
| Content Type | Text |
| Resource Type | Article |
| Subject | Statistics and Probability Social Sciences Economics and Econometrics |
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