Explaining the Stock Market's Reaction to Macroeconomic Announcements

International audienceThis paper aims to study the impact of macroeconomic announcements on stock returns. More specifically, it intends to measure the average response of the French stock market and to provide some theoretical explanations regarding the sources of this reaction. Using intraday data, the study shows that, according to previous studies, there is a little evidence of market reactions to those surprises. This result may be explained partly by the simultaneous revision of future cash flows and future interest rates, which renders the net effect on equities insignificantly different from zero