Macroeconomic Factors Do Influence Aggregate Stock Returns

By Mark J. Flannery, A. Protopapadakis. 2002

909 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fc2bf162019de8ccb57d8ee5e4ab2b84263f8a72

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Citations in the corpus

Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics (2011, neutral): “In terms of stock returns, Flannery and Protopapadakis (2002) use a GARCH model to detect the effect of macro announcements on different stock market indices.”
When does the stock market listen to economic news? New evidence from copulas and news wires (2014, neutral): “For example, Flannery and Protopapadakis (2002) examine the market impact of 17 macroeconomic announcements and ﬁnd that news relating to industrial production, unemployment and the real GNP appears to have no signiﬁcant impact on stock prices.”
Stochastic and genetic neural network combinations in trading and hybrid time-varying leverage effects (2014, methodology): “In this forecasting competition we do not include structural macroeconomic models as presented by Flannery and Protopapadakis (2002), Andersen et al. (2003), Pearce and Solakoglu (2007), Evans and Speight (2010) and recently Bacchetta and Wincoop (2013).”
Impact of macroeconomic news on metal futures (2012, background): “In a related study, Flannery and Protopapadakis (2002) relate equity returns to macroeconomic variables.”
Modelling the Implied Probability of Stock Market Movements (2003, neutral): “18 For a recent study on factor models see Flannery and Protopapadakis (2002).”
What Do Management Earnings Forecasts Convey About the Macroeconomy (2013, neutral): “See Christofferson et al. (2002), Flannery and Protopapadakis (2002), and Liu and Zhang (2008) for examples.”
Stock market volatility: Identifying major drivers and the nature of their impact (2015, background): “Flannery and Protopapadakis (2002) analyze the impact of real macroeconomic http://dx.doi.org/10.1016/j.jbankfin.2015.04.003 0378-4266/ 2015 Elsevier B.V.”
Market Reaction to Events Surrounding the Sarbanes‐Oxley Act of 2002 and Earnings Management (2008, neutral): “…returns and another abnormal return metric with expected returns modeled as a function of the risk-free rate, default spread, term spread, dividend yield on the market portfolio, log value of the market portfolio, and dummies for weekdays and the January effect (Flannery and Protopapadakis 2002).”
On the Volatility and Comovement of U.S. Financial Markets Around Macroeconomic News Announcements (2009, background): “…Jones et al. (1998), Li and Engle (1998), Fleming and Remolona (1999), Bomfim and Reinhart (2000), Connolly and Wang (2000), Balduzzi et al. (2001), Kuttner (2001), Flannery and Protopapadakis (2002), Andersen et al. (2003) (2005), Bomfim (2003), Bernanke and Kuttner (2005), and Boyd et al. (2005).”