Are Pre-Scheduled Macroeconomic News Days Different From Other Days? – A Cross-Sectional Analysis of the Swedish Stock Market
This thesis has examined if there is any difference in the relationship between different risk factors and the cross-section of assets excess returns on the Swedish stock market between days when macroeconomic news is scheduled to be announced (announcement days) and other days (normal days). The Fama and Macbeth two-pass regression method have been used for investigating the hypothesis that annou