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Correlations, Value Factor Returns, and Growth Options
Schoenleber, Lorenzo - 2020
Ex ante (expected) average equity market correlation is linked to the differential correlation dynamics of growth and value firms, as well as the value premium. It predicts returns on the value factor, returns of growth firms, and the changes in growth options within an economy for horizons up...
Persistent link: https://www.econbiz.de/10012846985
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Do Macroeconomic Variables Affect Stock Returns in BRICS Markets? An ARDL Approach
Tripathi, Vanita - 2015
exchange rate, interest rate, money supply, and oil prices on volatility in their stock markets. Investor can search for …
Persistent link: https://www.econbiz.de/10013017151
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A probit model for the state of the Greek GDP growth
Degiannakis, Stavros - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 381-392
evaluates the performance of the models. The probit model with the industrial production index and the realized volatility as …
Persistent link: https://www.econbiz.de/10011312197
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Dynamic Linkages between Output Growth and Macroeconomic Volatility : Evidence using Greek Data
Chapsa, Xanthippi - 2013
This paper provides empirical evidence regarding the causal links between macroeconomic uncertainty and output growth using Greek data. Uncertainty is considered in distinct components, namely the inflation uncertainty and the output growth uncertainty. The results reveal significant negative...
Persistent link: https://www.econbiz.de/10013092195
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Can the portfolio excess growth rate explain the predictive power of idiosyncratic volatility?
Mantilla-Garcia, Daniel; Malagon, Juliana; … - In: Finance research letters 47 (2022) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10013457556
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The asset growth effect in a mean-variance analysis
Qiao, Xiaotuo; Guo, Haifeng; Li, Jun - In: Applied economics 54 (2022) 37, pp. 4259-4273
Persistent link: https://www.econbiz.de/10013410898
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Size, value and business cycle variables : the three-factor model and future economic growth : evidence from an emerging market
Ali, Fahad; He, RongRong; Jiang, Yuexiang - In: Economies : open access journal 6 (2018) 1, pp. 1-24
The paper empirically investigates three different methods to construct factors and identifies some pitfalls that arise in the application of Fama-French’s three-factor model to the Pakistani stock returns. We find that the special features in Pakistan significantly affect size and value...
Persistent link: https://www.econbiz.de/10011853557
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Size-Portfolio Idiosyncratic Volatility with Aggregate Return, Cross-Sectional Return, and GDP Growth : U.S. and International Evidence
Kuo, Chris - 2011
documents that, when the idiosyncratic volatility is specified by firm size, the size-portfolio idiosyncratic volatility is …, this paper examines the predictive ability of the size-portfolio idiosyncratic volatility for GDP growth. It concludes that … size-portfolio idiosyncratic volatility contain significant information for forecasting future GDP growth for both the U …
Persistent link: https://www.econbiz.de/10013117807
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Gaussian rank correlation and regression
Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - In: Essays in honor of M. Hashem Pesaran : panel modeling, …, (pp. 269-306). 2022
Persistent link: https://www.econbiz.de/10013194599
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Is the asset growth anomaly driven by macroeconomic states?
Grobys, Klaus - In: Applied economics letters 23 (2016) 7/9, pp. 576-579
Persistent link: https://www.econbiz.de/10011627986