Fundamentals, Macroeconomic Announcements and Asset Prices

The aim of this paper is to study the impact of macroeconomic announcements on as-set prices, with the objectives of both measuring the average response of stock returns to macroeconomic news, and explaining the sources of this reaction. To assess the importance of scheduled French and US macroeconomic news announcements, Stock returns are an-alyzed on the French stock market. I show that, according to previous studies, there is a little evidence on the reaction of market to those surprises. News about inflation, U.S consumption and real economic activity are specially expected by investors. It confirms the leading role of the U.S. economy and in particular of U.S. consumers in determining the development of the world economy and the dynamics of stock markets. Results also show that unexpected positive surprise in the unemployment rate causes a cut on future excess returns and future dividends. The opposite reaction is observed from the housing starts indicator. The consumer price index appears to have an impact not only on future excess returns, but also on future real interest rates