Szczygielski, Jan Jakub; Brümmer, Leon; Wolmarans, … - In: The Journal of Risk Finance 21 (2020) 5, pp. 517-541
Purpose: This study aims to investigate the impact of the macroeconomic environment on South African industrial sector returns. Design/methodology/approach: Using standardized coefficients derived from time-series factor models, the authors quantify the impact of macroeconomic influences on...