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Macroeconomic factors and international industry returns
Applied Financial Economics, 2001This chapter extends the evidence presented in earlier chapters of the book, with respect to macroeconomic factors affecting industry returns, by moving away from the US and into a global setting. Managers who are interested in building global portfolios of stocks operate in such a setting.
Manolis G. Kavussanos +2 more
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Share Prices and Macroeconomic Factors
Journal of Business Finance & Accounting, 1997The APT with macroeconomic factors put forward by Chen, Roll and Ross (1986) was tested using monthly Australian sectoral share‐price indexes for 1980–1994. The inflation rate was found to be consistently priced. The significance of other factors was found to depend on the choice of sample period and estimation method. The model was compared to both an
Nicolaas Groenewold, Patricia Fraser
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Macroeconomic News and Risk Factor Innovations
Managerial Finance, 2010PurposeThe purpose of this paper is to determine if macroeconomic announcements affect the Fama‐French market, size, book‐to‐market risk factors and momentum factor.Design/methodology/approachUsing unexpected announcements of major macroeconomic indicators, a study is made of how daily innovations of risk factors react to macroeconomic shocks.
Thomas Gosnell, Ali Nejadmalayeri
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Sector Rotation with Macroeconomic Factors
The Journal of Wealth Management, 2015Implementing sector rotation strategies with a set of low-frequency economic measures, the authors construct long-only sector exchange traded fund (ETF) portfolios that respond differently to the economy via alternative optimization methods, such as mean–variance and low-volatility allocations. These economic-based portfolios, when assessed against the
James Chong, G. Michael Phillips
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BUSINESS FAILURES AND MACROECONOMIC FACTORS IN THE UK
Bulletin of Economic Research, 2009ABSTRACTWe examine the interactions between business failures and macroeconomic aggregates, and specifically the accounts of policy‐induced changes in the macroeconomy for the observed fluctuations of UK business failures in the period 1966–2003 using the vector error‐correction model (VECM). The results demonstrate that macroeconomic aggregates, i.e.,
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Momentum profits and macroeconomic factors
Applied Economics Letters, 2004This article tests whether macroeconomic variables and market sentiment influence the size of momentum profits. It finds that although returns to the winner and loser portfolios are influenced by a range of macroeconomic and market wide variables; momentum profits are influenced only by the scale of portfolio outflows.
Patricia Chelley-steeley +1 more
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Macroeconomic Expectations and State-Dependent Factor Returns
SSRN Electronic Journal, 2023We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk premia across different market regimes. First, we rely on a two-state logit mixture vector autoregressive model and use Consensus Economics survey data on GDP growth, inflation, and short-term interest rates to approximate ...
Haase, Felix, Neuenkirch, Matthias
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