1. Macroeconomic Effects on Stock Jumps
Allison Keane
February 20, 2008

2. Overview
Part 1:
Compiled data on macroeconomic announcements from Jun 2001 – Dec 2007
Compared announcement dates with dates of jumps for four stocks
Part 2:
Regression of stocks on announcements

3. Macro Announcements PPI CPI Durable Goods Orders Industrial Production
Prices of goods at wholesale level
CPI
Price level of a fixed group of goods
Durable Goods Orders
Volume of orders and shipments of goods that will last longer than three years
Industrial Production
Measure of output of factories, mines, utilities
Retail Sales – ex. Auto
Total receipts of retail stores – consumer spending indicator

4. Stocks
Procter & Gamble (PG), Kraft (KFT), American International Group (AIG), and Ford (F)
Calculated jumps from June 2001 – Dec 2007
Pulled out the date corresponding to each jump

5. Results Stock # Jump Days # Jump / Announce days percentage PG 49 9
18.37
KFT
201 46
22.89
AIG 10
20.41 F
101 15
14.85

6. Regression Regress the returns with announcements at the same time
Rt = βkSk,t + εt
Determine if the coefficients are significant
Standardization of announcements
Skt = (Akt – Ekt ) / σk

7. Expansion Gather data for more announcements and apply to more stocks
Research microeconomic announcement
Regression for first five announcements
Different regressions