The estimation of the impact of macroeconomic announcements in the Brazilian futures markets is used to uncover the relationship between macroeconomic fundamentals and asset prices. Using intraday data from October 2008 ...

This paper revisits the issue of the influence of macro-economic announcements over the exchange rates volatility, but from a different perspective as it is the usual in the econometric literature. By quantifying the impact ...

This explorative study is about the influencing effects of US macroeconomic announcements on changes in systematic risk with the focus on the difference between emerging and developed markets. Seven different US macroeconomic ...

This study explores the performance of volatility-based trading strategies on scheduled news announcement days. The design of the investment strategies is based on the fall of the VIX, VSTOXX, VDAX-NEW and VFTSE volatility ...

This paper investigates heterogeneity in the market assessment of public macro- economic announcements by exploring (jointly) two main mechanisms through which macroeconomic news might enter stock prices: instantaneous ...

Do stock markets reflect changes on the macroeconomic fundamentals? . The semi-strong form of the Efficient market hypothesis (HEM - Fama 1970) asserts that stock prices should react immediately to the surprise content on ...

This thesis studies price-setting models and analyzes their macroeconomic im- plications. In the rst two chapters I study general models in which rms pricing decisions are a¤ected by menu costs and information costs. In ...

This paper shows empirical evidence of the effect of macroeconomic announcements (inflation and GDP) on returns, volatility and trading activity for the stock markets of Argentina, Brazil, Chile, Colombia, Mexico and Peru, ...