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State variables, macroeconomic activity, and the cross section of individual stocks

Citations

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Cited by:

  1. de Oliveira Souza, Thiago, 2016. "The size premium and intertemporal risk," Discussion Papers on Economics 3/2016, University of Southern Denmark, Department of Economics.
  2. Maximilian Renz & Olaf Stotz, 2021. "A macroeconomic hedge portfolio and the cross section of stock returns," Review of Financial Economics, John Wiley & Sons, vol. 39(1), pages 73-94, January.
  3. Christian Schlag & Michael Semenischev & Julian Thimme, 2021. "Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models," Management Science, INFORMS, vol. 67(12), pages 7932-7950, December.
  4. 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.
  5. Shi, Qi & Li, Bin, 2022. "Further evidence on financial information and economic activity forecasts in the United States," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  6. Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023. "Commodity futures return predictability and intertemporal asset pricing," Journal of Commodity Markets, Elsevier, vol. 31(C).
  7. Sy, Oumar & Zaman, Ashraf Al, 2020. "Is the presidential premium spurious?," Journal of Empirical Finance, Elsevier, vol. 56(C), pages 94-104.
  8. Xyngis, Georgios, 2017. "Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 43-65.
  9. Xu, Zhiwei & Gou, Xinyi & Zhang, Teng, 2025. "Have the Chinese crude oil futures prices made a progress towards becoming the regional oil pricing benchmark? Empirical analysis from the asset pricing perspective," Energy Economics, Elsevier, vol. 145(C).
  10. Pintor, Gabor, 2016. "The macroeconomic shock with the highest price of risk," LSE Research Online Documents on Economics 86225, London School of Economics and Political Science, LSE Library.
  11. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2022. "Cryptocurrency returns under empirical asset pricing," International Review of Financial Analysis, Elsevier, vol. 82(C).
  12. Wang, Yunqi & Zhou, Ti, 2023. "Out-of-sample equity premium prediction: The role of option-implied constraints," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 199-226.
  13. Zhu, Lin & Jiang, Fuwei & Tang, Guohao & Jin, Fujing, 2024. "From macro to micro: Sparse macroeconomic risks and the cross-section of stock returns," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  14. Schlag, Christian & Semenischev, Michael & Thimme, Julian, 2020. "Predictability and the cross-section of expected returns: A challenge for asset pricing models," SAFE Working Paper Series 289, Leibniz Institute for Financial Research SAFE.
  15. Zhang, Han, 2021. "An inflation-based ICAPM in China," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  16. Gabor Pinter, 2016. "The Macroeconomic Shock with the Highest Price of Risk," Discussion Papers 1623, Centre for Macroeconomics (CFM), revised Apr 2017.
  17. Borup, Daniel, 2019. "Asset pricing model uncertainty," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 166-189.
  18. Iania, Leonardo & Nguyen, P. Thao & Smedts, Kristien, 2025. "Stock returns and macroeconomic uncertainty," International Review of Financial Analysis, Elsevier, vol. 104(PA).
  19. Maio, Paulo & Philip, Dennis, 2018. "Economic activity and momentum profits: Further evidence," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 466-482.
  20. Pinter, Gabor, 2018. "Macroeconomic shocks and risk premia," LSE Research Online Documents on Economics 90370, London School of Economics and Political Science, LSE Library.
  21. Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2020. "Beta uncertainty," Journal of Banking & Finance, Elsevier, vol. 116(C).
  22. 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.
  23. Boons, Martijn & Duarte, Fernando & de Roon, Frans & Szymanowska, Marta, 2020. "Time-varying inflation risk and stock returns," Journal of Financial Economics, Elsevier, vol. 136(2), pages 444-470.
  24. Abad, David & Nieto, Belén & Pascual, Roberto & Rubio, Gonzalo, 2023. "Market-wide illiquidity and the distribution of non-parametric stochastic discount factors," International Review of Financial Analysis, Elsevier, vol. 87(C).
  25. Ilan Cooper & Paulo Maio, 2019. "Asset Growth, Profitability, and Investment Opportunities," Management Science, INFORMS, vol. 65(9), pages 3988-4010, September.
  26. Hsu, Ching-Chi & Tsai, Wei-Che, 2025. "Spillover effects of clean energy risks and the impacts of economic policy uncertainty on the stability of the equity market: A dependence dynamics analysis," The North American Journal of Economics and Finance, Elsevier, vol. 80(C).
  27. Shi, Qi, 2023. "The RP-PCA factors and stock return predictability: An aligned approach," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
  28. Kwon, Ji Ho, 2022. "More predictors of the investment opportunity set in the ICAPM," Finance Research Letters, Elsevier, vol. 47(PA).
  29. Barroso, Pedro & Boons, Martijn & Karehnke, Paul, 2021. "Time-varying state variable risk premia in the ICAPM," Journal of Financial Economics, Elsevier, vol. 139(2), pages 428-451.
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