This article contributes to the literature on macroeconomic announcements and their impact on asset prices by investigating how the 15-second Xetra DAX returns reflect the monthly announcements of the two best known business cycle forecasts for Germany, i.e. the ifo Business Climate Index and...

We study the response of the German stock market index DAX to the announcement of macroeconomic business cycle forecasts. Returns are computed using high-frequency data observed for 15-second intervals. Results reveal immediate stock market reactions. Major reactions involving both returns and...