Why focus on macro announcements? That is where all of the return action is

Macro announcements matter and impact returns. If we look at announcement days versus non-announcement days, there is a significant difference in excess returns. This is applicable at all levels of beta.  This work is nicely presented in the paper, "The Macroeconomic Announcement Premium", and shows that this excess return story is applicable for stocks and bonds.

Trade the macro announcements for profit.