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Macroeconomic risk and the Fama‐French three‐factor model

Black, Angela J. - In: Managerial Finance 32 (2006) 6, pp. 505-517

Purpose – This paper aims to examine the relationship between the conditional variance of the factors from the Fama–French three‐factor model and macroeconomic risk, where macroeconomic risk is proxied by the conditional variance for a default risk premium and real gross domestic product...

Persistent link: https://www.econbiz.de/10014939870

Non-linear cointegration and adjustment : an asymmetric exponential smooth-transition model for US interest rates

McMillan, David G. - In: Empirical economics : a journal of the Institute for … 35 (2008) 3, pp. 591-606

Persistent link: https://www.econbiz.de/10003776781

Nonlinear predictability of short-run deviations in UK stock market return

McMillan, David G. - In: Economics letters 84 (2004) 2, pp. 149-154

Persistent link: https://www.econbiz.de/10002116187

Nonlinear dynamics and competing behavioral interpretations : evidence from intra-day FTSE-100 index and futures data

McMillan, David G.; Speight, Alan E. H. - In: The journal of futures markets 26 (2006) 4, pp. 343-368

Persistent link: https://www.econbiz.de/10003304077

The price-dividend ratio and limits to arbitrage : evidence from a time-varying ESTR model

McMillan, David G. - In: Economics letters 91 (2006) 3, pp. 408-412

Persistent link: https://www.econbiz.de/10003333694

Asymmetric patterns in international stock prices : evidence of random walk and reverting behaviour

McMillan, David G. - In: International economics & finance journal : (IEFJ) 2 (2007) 1/2, pp. 109-126

Persistent link: https://www.econbiz.de/10003791280

The confusing time-series behaviour of real exchange rates : are asymmetries important?

McMillan, David G. - In: Journal of international financial markets, … 19 (2009) 4, pp. 692-711

Persistent link: https://www.econbiz.de/10003879522

Non-linear forecasting of stock returns : does volume help?

McMillan, David G. - In: International journal of forecasting 23 (2007) 1, pp. 115-126

Persistent link: https://www.econbiz.de/10003438396

Bubbles in the dividend-price ratio? : evidence from an asymmetric exponential smooth-transition model

McMillan, David G. - In: Journal of banking & finance 31 (2007) 3, pp. 787-804

Persistent link: https://www.econbiz.de/10003429782

Level-shifts and non-linearity in US financial ratios : implications for returns predictability and the present value model

McMillan, David G. - In: Review of accounting & finance 9 (2010) 2, pp. 189-207

Persistent link: https://www.econbiz.de/10003991054

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