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Macroeconomic Effects on Stock Jumps

This study analyzes the impact of macroeconomic announcements on stock jumps for four companies from June 2001 to Dec 2007. Regression analysis of announcements like PPI, CPI, Durable Goods Orders, Industrial Production, and Retail Sales was conducted to determine significance. Future research includes expanding data and exploring microeconomic announcements.

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Macroeconomic Effects on Stock Jumps

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  1. Macroeconomic Effects on Stock Jumps Allison Keane February 20, 2008

  2. Overview • Part 1: • Compiled data on macroeconomic announcements from Jun 2001 – Dec 2007 • Compared announcement dates with dates of jumps for four stocks • Part 2: • Regression of stocks on announcements

  3. Macro Announcements • PPI • Prices of goods at wholesale level • CPI • Price level of a fixed group of goods • Durable Goods Orders • Volume of orders and shipments of goods that will last longer than three years • Industrial Production • Measure of output of factories, mines, utilities • Retail Sales – ex. Auto • Total receipts of retail stores – consumer spending indicator

  4. Stocks • Procter & Gamble (PG), Kraft (KFT), American International Group (AIG), and Ford (F) • Calculated jumps from June 2001 – Dec 2007 • Pulled out the date corresponding to each jump

  5. Results

  6. Regression • Regress the returns with announcements at the same time • Rt = βkSk,t + εt • Determine if the coefficients are significant • Standardization of announcements • Skt = (Akt – Ekt ) / σk

  7. Expansion • Gather data for more announcements and apply to more stocks • Research microeconomic announcement • Regression for first five announcements • Different regressions

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