Macroeconomic risks and characteristic-based factor models

Journal of Banking and Finance

Volumn 34, Issue 6, 2010, Pages 1383-1399

  Aretz, Kevin ^a   Bartram, Söhnke M ^a   Pope, Peter F ^a  

^a LANCASTER UNIVERSITY   (United Kingdom)

Author keywords

Asset pricing; Book to market; Carhart model; Fama and French model; Macroeconomic factors; Momentum; Size

Indexed keywords

EID: 77950021525     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2009.12.006     Document Type: Article

References (29)

1. Asem E. Dividends and price momentum. Journal of Banking and Finance 33 (2009) 486-494
2. Bartram S.M. What lies beneath: Foreign exchange rate exposure, hedging and cash flows. Journal of Banking and Finance 32 (2008) 1508-1521
3. Carhart M.M. On persistence in mutual fund performance. Journal of Finance 52 (1997) 57-82
4. Chan K.C., Chen N.F., and Hsieh D.A. An explanatory investigation of the firm size effect. Journal of Financial Economics 14 (1985) 451-471
5. Chen N.F. Financial investment opportunities and the macroeconomy. Journal of Finance 46 (1991) 529-554
6. Chen S.-S. Predicting the bear stock market: Macroeconomic variables as leading indicators. Journal of Banking and Finance 33 (2009) 211-223
7. Chen N.F., Roll R., and Ross S.A. Economic forces and the stock market. Journal of Business 59 (1986) 383-403
8. Cochrane J.H. Asset Pricing (2001), Princeton University Press, New Jersey
9. Doidge C., Griffin J.M., and Williamson R. Measuring the economic importance of exchange rate exposure. Journal of Empirical Finance 13 (2006) 550-576
10. Elton E.J., Gruber M.J., Agrawal D., and Mann C. Explaining the rate spread on corporate bonds. Journal of Finance 56 (2001) 1229-1256
11. Fama E.F. Multifactor portfolio efficiency and multifactor asset pricing. Journal of Financial and Quantitative Analysis 31 (1996) 441-465
12. Fama E.F., and French K.R. Dividend yields and expected stock returns. Journal of Financial Economics 22 (1988) 3-25
13. Fama E.F., and French K.R. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 (1993) 3-56
14. Fama E.F., and Gibbons M.R. A comparison of inflation forecasts. Journal of Monetary Economics 13 (1984) 327-348
15. Griffin J.M., Ji X., and Martin J.S. Momentum investing and business cycle risk: Evidence from pole to pole. Journal of Finance 58 (2003) 2515-2547
16. Hahn J., and Lee H. Yield spreads as alternative risk factors for size and book-to-market. Journal of Financial and Quantitative Analysis 41 (2006) 247-269
17. Hansen L.P. Large-sample properties of generalized method of moments estimators. Econometrica 50 (1982) 1029-1053
18. He J., and Ng L.K. Economic forces, fundamental variables, and equity returns. Journal of Business 67 (1994) 599-609
19. Kelly, P.J., 2004. Real and inflationary macroeconomic risk in the Fama and French size and book-to-market portfolios. Working Paper, University of South California.
20. Li X., Miffre J., Brooks C., and O'Sullivan N. Momentum profits and time-varying unsystematic risk. Journal of Banking and Finance 32 (2008) 541-558
21. Liew J., and Vassalou M. Can book-to-market, size, and momentum be risk factors that predict economic growth?. Journal of Financial Economics 57 (2000) 221-245
22. Merton R.C. An intertemporal capital asset pricing model. Econometrica 41 (1973) 867-887
23. Merton R.C. On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance 29 (1974) 449-470
24. Newey W.K., and West K.D. A simple positive-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55 (1987) 703-708
25. Pagan A.R. Econometric issues in the analysis of regressions with generated regressors. International Economic Review 25 (1984) 221-247
26. Petkova R. Do the Fama-and-French factors proxy for innovations in state variables?. Journal of Finance 61 (2006) 581-612
27. Ross S.A. The arbitrage theory of capital asset pricing. Journal of Economic Theory 13 (1976) 341-360
28. Vassalou M. News related to future GDP growth as a risk factor in equity returns. Journal of Financial Economics 68 (2003) 47-73
29. Vassalou M., and Xing Y. Default risk in equity returns. Journal of Finance 59 (2004) 831-868