Macroeconomic Risk and the Determination of Expected Returns on Stocks
This paper empirically investigates the link between expected returns on stocks and a set of variables that describe the general state of economic activity. The model relates the first and second conditional moments on stock excess returns to the conditional variances and covariances of a set of prespecified macroeconomic factors. The estimation results suggest that industrial production growth, inflation, and shortâterm interest rates help explain the behavior over time of expected excess returns on stocks.
Year of publication: |
1995
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Authors: | Sill, Keith |
Published in: |
Managerial Finance. - MCB UP Ltd, ISSN 1758-7743, ZDB-ID 2047612-7. - Vol. 21.1995, 7, p. 43-56
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Publisher: |
MCB UP Ltd |
Saved in:
Online Resource
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