This 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...

In an influential paper, Engel and West (2005) claim that the near random-walk behavior of nom- inal exchange rates is an equilibrium outcome of a variant of present-value models when economic fundamentals follow exogenous first-order integrated processes and the discount factor approaches one....

This paper analyzes conditional stock-price volatility within in present-value framework including (rational) periodically collapsing bubbles as introduced by Evans (1991). To this end, we derive an analytically closed-form volatility formula of the stock price. The formula establishes a direct...