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Momentum profits and macroeconomic risk
Liu, Laura Xiaolei; Warner, Jerold B.; Zhang, Lu - 2005
Persistent link: https://www.econbiz.de/10003020819
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Momentum Profits and Macroeconomic Risk
Liu, Laura X.L. - 2005
Previous work shows that the growth rate of industrial production is a common macroeconomic risk factor in the cross-section of expected returns. We demonstrate the connection between momentum profits and shifts in factor loadings on this macroeconomic variable. Winners have temporarily higher...
Persistent link: https://www.econbiz.de/10012467199
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Do zero-cost portfolios have the ability to predict economic growth? : evidence from Hong Kong, South Korea and Taiwan
Davison, Freddy; Marsden, Alastair; Veeraraghavan, Madhu - In: International review of financial analysis 17 (2008) 5, pp. 1012-1028
Persistent link: https://www.econbiz.de/10003792374
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Global and country-specific business cycle risk in time-vaying excess returns on asset markets
Nitschka, Thomas - 2012
Persistent link: https://www.econbiz.de/10009674033
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Does the stock market predict real activity? : Time series evidence from the G-7 countries
Choe, Chong-mu; Hauser, Shmuel; Kopecky, Kenneth J. - In: Journal of banking & finance 23 (1999) 12, pp. 1771-1792
Persistent link: https://www.econbiz.de/10001428990
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Insiders' market timing and real activity : evidence from an emerging market
Wisniewski, Tomasz P. - 2003
Persistent link: https://www.econbiz.de/10001737980
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Causal relations among stock returns, inflation, real activity, and interest rates : evidence from Japan
Najand, Mohammad - In: Global finance journal 9 (1998) 1, pp. 71-80
Persistent link: https://www.econbiz.de/10001249652
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A threshold autoregressive analysis of stock returns and real economic activity
Domian, Dale L. - In: International review of economics & finance : IREF 6 (1997) 2, pp. 167-179
Persistent link: https://www.econbiz.de/10001225828
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Crude oil prices, exchange rates, stock markets and industrial production relationships in emerging markets
Soylu, Sibel; Şendeniz-Yüncü, Ilkay; Soytaş, Uǧur - In: Applications in Energy Finance : The Energy Sector, …, (pp. 55-83). 2022
Persistent link: https://www.econbiz.de/10013282726
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Stock market volatility and macroeconomic fundamentals
Engle, Robert F.; Ghysels, Eric; Sohn, Bumjean - In: The review of economics and statistics 95 (2013) 3, pp. 776-797
Persistent link: https://www.econbiz.de/10009793016