Stock market alphas help predict macroeconomic innovations
Year of publication: |
2024
|
---|---|
Authors: | Hung, Mao-Wei ; Yeh, Andy Jia-Yuh |
Published in: |
Macroeconomic dynamics. - Cambridge : Cambridge Univ. Press, ISSN 1469-8056, ZDB-ID 1501533-6. - Vol. 28.2024, 3, p. 612-646
|
Subject: | asset return anomalies | dynamic conditional alphas | Fama-French multi-factor models | Granger causation tests | macroeconomic innovations | vector autoregressions | Schätzung | Estimation | Kapitaleinkommen | Capital income | Theorie | Theory | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model | Aktienmarkt | Stock market | Börsenkurs | Share price | Innovation |
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