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Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns

Listed author(s):
  • Claudio Morana

This study contributes to the investigation of the macro-finance interface by assessing the economic content and risk based interpretation of widely employed risk factors in the specification of empirical asset pricing models, i.e., Fama-French size and value, and Carhart momentum factors, as well as the more recent Pastor-Stambaugh liquidity and Adrian-Etula-Muir leverage factors. Strong support for their risk based interpretation, encompassing evidence on causes, persistence and direction of the size, value and momentum effects, and new insights on the specification of systematic risk, are provided.

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File URL: http://dems.unimib.it/repec/pdf/mibwpaper264.pdf
File Function: First version, 2013
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Paper provided by University of Milano-Bicocca, Department of Economics in its series Working Papers with number 264.

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Length: 74
Date of creation: Dec 2013
Date of revision: Dec 2013
Handle: RePEc:mib:wpaper:264
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