Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market
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- Benaković Dubravka & Posedel Petra, 2010. "Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market," Business Systems Research, De Gruyter Open, vol. 1(1-2), pages 39-46, January.
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More about this item
Keywordsfactor models; risk premium; stock returns; estimated sensitivities; regression analysis;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-23 (All new papers)
- NEP-RMG-2011-01-23 (Risk Management)
- NEP-TRA-2011-01-23 (Transition Economics)
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