Insights on the global macro-finance interface : structural sources of risk factor fluctuations and the cross-section of expected stock returns
Year of publication: |
2014
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Authors: | Morana, Claudio |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 29.2014, p. 64-79
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Subject: | Macro-finance interface | Risk factors | Size, value, momentum, liquidity, volatility and leverage effects | Factor vector autoregressive model | Volatilität | Volatility | Kapitaleinkommen | Capital income | VAR-Modell | VAR model | Risiko | Risk | CAPM | Risikoprämie | Risk premium | Liquidität | Liquidity |
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