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Macroeconomic risks and characteristic-based factor models

Citations

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Cited by:

  1. Alexandros Kontonikas & Alexandros Kostakis, 2013. "On Monetary Policy and Stock Market Anomalies," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 40(7-8), pages 1009-1042, September.
  2. Christos Argyropoulos & Bertrand Candelon & Jean-Baptiste Hasse & Ekaterini Panopoulou, 2020. "Toward a Macroprudential Regulatory Framework for Mutual Funds," GRU Working Paper Series GRU_2020_008, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
  3. Mikael C. Bergbrant & Patrick J. Kelly, 2016. "Macroeconomic Expectations and the Size, Value, and Momentum Factors," Financial Management, Financial Management Association International, vol. 45(4), pages 809-844, December.
  4. Kevin Aretz & Marc Aretz, 2016. "Which stocks drive the size, value, and momentum anomalies and for how long? Evidence from a statistical leverage analysis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(1), pages 19-61, February.
  5. Howard Chan & Robert Faff & Paul Kofman, 2011. "Is default risk priced in Australian equity? Exploring the role of the business cycle," Australian Journal of Management, Australian School of Business, vol. 36(2), pages 217-246, August.
  6. Adcock, Christopher & Bessler, Wolfgang & Conlon, Thomas, 2022. "Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition," Journal of Empirical Finance, Elsevier, vol. 65(C), pages 24-50.
  7. Al-Shboul, Mohammad & Anwar, Sajid, 2014. "Pricing of the currency risk in the Canadian equity market," Research in International Business and Finance, Elsevier, vol. 30(C), pages 173-194.
  8. Lucas Bretschger & Filippo Lechthaler, 2012. "Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market," CER-ETH Economics working paper series 12/160, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
  9. Chou, Pin-Huang & Ho, Po-Hsin & Ko, Kuan-Cheng, 2012. "Do industries matter in explaining stock returns and asset-pricing anomalies?," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 355-370.
  10. Florackis, Chris & Gregoriou, Andros & Kostakis, Alexandros, 2011. "Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3335-3350.
  11. Alfonso Mendoza Velázquez & Peter N. Smith, 2013. "Equity Returns and the Business Cycle: the Role of Supply and Demand Shocks," Manchester School, University of Manchester, vol. 81, pages 100-124, September.
  12. Isabel Casas & Eva Ferreira & Susan Orbe, 2021. "Time-Varying Coefficient Estimation in SURE Models. Application to Portfolio Management," Journal of Financial Econometrics, Oxford University Press, vol. 19(4), pages 707-745.
  13. Efdal Ulas Misirli, 2018. "Productivity Risk and Industry Momentum," Financial Management, Financial Management Association International, vol. 47(3), pages 739-774, September.
  14. Gu, Li & Huang, Dayong, 2010. "Sales order backlogs and momentum profits," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1564-1575, July.
  15. Ching-Chung Lin & Shou-Lin Yang & Huai-I Lee, 2015. "Bank Concentration and Enterprise Borrowing Cost Risk: Evidence from Asian Markets," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(2), pages 194-201, February.
  16. Rehman, Mobeen Ur, 2019. "Energy shocks pricing model: A non-linear US sectoral based analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
  17. Du, Ding, 2013. "Another look at the cross-section and time-series of stock returns: 1951 to 2011," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 130-146.
  18. Lindaas, Knut F. & Simlai, Prodosh, 2014. "The value premium, aggregate risk innovations, and average stock returns," Finance Research Letters, Elsevier, vol. 11(3), pages 303-317.
  19. William Goetzmann & Akiko Watanabe & Masahiro Watanabe, 2008. "Investor Expectations, Business Conditions, and the Pricing of Beta-Instability Risk," Yale School of Management Working Papers amz2656, Yale School of Management, revised 01 Jan 2009.
  20. Du, Ding, 2014. "Persistent exchange-rate movements and stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 36-53.
  21. Docherty, Paul & Chan, Howard & Easton, Steve, 2013. "Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 107-124.
  22. PAOLA BRIGHI & STEFANO d'ADDONA & ANTONIO CARLO FRANCESCO DELLA BINA, 2013. "The Determinants of Risk Premia on the Italian Stock Market: Empirical Evidence on Common Factors in Asset Pricing Models," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 42(2), pages 103-133, July.
  23. Balvers, Ronald & Du, Ding & Zhao, Xiaobing, 2017. "Temperature shocks and the cost of equity capital: Implications for climate change perceptions," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 18-34.
  24. Karavias, Yiannis & Spilioti, Stella & Tzavalis, Elias, 2016. "A comparison of investors’ sentiments and risk premium effects on valuing shares," Finance Research Letters, Elsevier, vol. 17(C), pages 1-6.
  25. Garima Goel & Saumya Ranjan Dash & Mário Nuno Mata & António Bento Caleiro & João Xavier Rita & José António Filipe, 2021. "Economic Policy Uncertainty and Stock Return Momentum," JRFM, MDPI, vol. 14(4), pages 1-17, March.
  26. Min, Byoung-Kyu & Kim, Tong Suk, 2012. "Are good-news firms riskier than bad-news firms?," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1528-1535.
  27. Bartram, Söhnke M. & Bodnar, Gordon M., 2012. "Crossing the lines: The conditional relation between exchange rate exposure and stock returns in emerging and developed markets," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 766-792.
  28. Bartram, Söhnke M. & Grinblatt, Mark, 2018. "Agnostic fundamental analysis works," Journal of Financial Economics, Elsevier, vol. 128(1), pages 125-147.
  29. Qi Shi & Bin Li & Adrian (Wai Kong) Cheung & Richard Chung, 2017. "Augmenting the intertemporal CAPM with inflation: Further evidence from alternative models," Australian Journal of Management, Australian School of Business, vol. 42(4), pages 653-672, November.
  30. Brian Payne & John Geppert, 2015. "Health care and the cross-section of US stock returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(1), pages 153-170, January.
  31. Golam Sarwar & Cesario Mateus & Natasa Todorovic, 2017. "A tale of two states: asymmetries in the UK small, value and momentum premiums," Applied Economics, Taylor & Francis Journals, vol. 49(5), pages 456-476, January.
  32. T. Gärtner & S. Kaniovski & Y. Kaniovski, 2021. "Numerical estimates of risk factors contingent on credit ratings," Computational Management Science, Springer, vol. 18(4), pages 563-589, October.
  33. Davison, Freddy & Marsden, Alastair & Veeraraghavan, Madhu, 2008. "Do zero-cost portfolios have the ability to predict economic growth? Evidence from Hong Kong, South Korea and Taiwan," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1012-1028, December.
  34. Kim, Dongcheol & Kim, Tong Suk & Min, Byoung-Kyu, 2011. "Future labor income growth and the cross-section of equity returns," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 67-81, January.
  35. Söhnke M. Bartram & Harald Lohre & Peter F. Pope & Ananthalakshmi Ranganathan, 2021. "Navigating the factor zoo around the world: an institutional investor perspective," Journal of Business Economics, Springer, vol. 91(5), pages 655-703, July.
  36. Damir Tokic & Dave Jackson, 2023. "When a correction turns into a bear market: What explains the depth of the stock market drawdown? A discretionary global macro approach," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 184-197, May.
  37. Ekaterina Koroleva & Maxim Kopeykin, 2022. "Understanding of Macro Factors That Affect Yield of Government Bonds," Risks, MDPI, vol. 10(8), pages 1-10, August.
  38. ANNAERT, Jan & DE CEUSTER, Marc & VERSTEGEN, Kurt, 2012. "Are extreme returns priced in the stock market? European evidence," Working Papers 2012018, University of Antwerp, Faculty of Business and Economics.
  39. Xiao, Yuchao & Faff, Robert & Gharghori, Philip & Min, Byoung-Kyu, 2013. "Pricing innovations in consumption growth: A re-evaluation of the recursive utility model," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4465-4475.
  40. Yi, Ronghua & Chang, Yu-Wei & Xing, Wen & Chen, Jun, 2019. "Comparing relative valuation efficiency between two stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 159-167.
  41. Aretz, Kevin & Shackleton, Mark B., 2011. "Omitted debt risk, financial distress and the cross-section of expected equity returns," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1213-1227, May.
  42. Paula Hill & Robert Faff, 2010. "The Market Impact of Relative Agency Activity in the Sovereign Ratings Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(9‐10), pages 1309-1347, November.
  43. Seung Woog (Austin) Kwag & Sang Whi Lee, 2012. "Innovative value indicators: Firm specific versus macroeconomic," Journal of Asset Management, Palgrave Macmillan, vol. 13(5), pages 339-347, October.
  44. Bessler, Wolfgang & Kurmann, Philipp, 2014. "Bank risk factors and changing risk exposures: Capital market evidence before and during the financial crisis," Journal of Financial Stability, Elsevier, vol. 13(C), pages 151-166.
  45. Arbab Khalid Cheema & Wenjie Ding & Qingwei Wang, 2023. "The cross-section of January effect," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 513-530, October.
  46. Gkillas, Konstantinos & Tsagkanos, Athanasios & Vortelinos, Dimitrios I., 2019. "Integration and risk contagion in financial crises: Evidence from international stock markets," Journal of Business Research, Elsevier, vol. 104(C), pages 350-365.
  47. Chiang, Thomas C. & Li, Huimin & Zheng, Dazhi, 2015. "The intertemporal risk-return relationship: Evidence from international markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 156-180.
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