Impact of major macroeconomic announcements on the daily trading volumes of several US ETFs is examined for the period of January 2004-April 2014. An ARIMA model with external factors that describe the announcement events is used. It is found that several macroeconomic announcements,...

A news-based model (NBM) in which stock prices are determined by three types of news is proposed. First, it is non-diversifiable macroeconomic and geopolitical news. Their impact on prices is accounted using total market return in the spirit of the CAPM. Second, it is the equity sector/industry...