The macroeconomic content of international equity market factors
AbstractAlthough existing research has examined the association between macroeconomic data and particular equity markets, little is known regarding the economic content of the latent factors common to international equity markets. This paper considers the macroeconomic information incorporated in unobserved common equity market factors, as well as the possibility that the macroeconomic sensitivities of the factors differ across alternative levels of volatility. Several models are estimated for 15 developed equity markets to examine the economic composition of the common factors, thereby providing an alternative perspective on the economic fundamentals underlying equity markets. A formal Bayesian selection process suggests that a common structure incorporating global and European factors is preferred to the baseline case of a single global factor or the extended scenario of dual global factors. The common factors are associated with a small set of macroeconomic variables.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Quantitative Finance.
Volume (Year): 12 (2012)
Issue (Month): 11 (November)
Contact details of provider:
Web page: http://www.tandfonline.com/RQUF20
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.