Are Pre-Scheduled Macroeconomic News Days Different From Other Days? – A Cross-Sectional Analysis of the Swedish Stock Market

Sammanfattning: 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 announcement days are different from normal days. The main results illustrate that there is no difference between announcement days and normal days in general, but for the time period 2010-2013 there is a clear difference between the two kinds of days. On announcement days, some of the implications of the CAPM hold, which is no intercept and a positive risk premium for market risk, but on normal days the CAPM does not holds.