Empirical Analysis of Real and Financial Volatilities on Stock Excess Returns: Evidence from Taiwan Industrial Data - This paper tests the relationship between stock excess returns and risk factors measured by volatility. The sources of the volatility are based on the volatility of macroeconomic factors and time series volatility. To modeling the macroeconomic fundamentals, we divide the risk into ...
Year of publication: |
1999
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Authors: | Chiang, Thomas C. ; Doong, Shuh-Chyi |
Published in: |
Global finance journal. - Amsterdam [u.a.] : Elsevier Inc., ISSN 1044-0283, ZDB-ID 11172435. - Vol. 10.1999, 2, p. 187-200
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