Aretz, Kevin, Bartram, Söhnke M. and Pope, Peter (2010) Macroeconomic risks and characteristic-based factor models. Journal of Banking and Finance, 34 (6). pp. 1383-1399. ISSN 0378-4266
Full text not available from this repository.Abstract
We show that book-to-market, size, and momentum capture cross-sectional variation in exposures to a broad set of macroeconomic factors identified in the prior literature as potentially important for pricing equities. The factors considered include innovations in economic growth expectations, inflation, the aggregate survival probability, the term structure of interest rates, and the exchange rate. Factor mimicking portfolios constructed on the basis of book-to-market, size, and momentum therefore, serve as proxy composite macroeconomic risk factors. Conditional and unconditional cross-sectional asset pricing tests indicate that most of the macroeconomic factors considered are priced. The performance of an asset pricing model based on the macroeconomic factors is comparable to the performance of the Fama and French (1993) model. However, the momentum factor is found to contain incremental information for asset pricing.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.journals.elsevier.com/journal-of-bankin... |
| Additional Information: | © 2010 Elsevier |
| Divisions: | Accounting |
| Subjects: | H Social Sciences > HG Finance |
| JEL classification: | G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets |
| Date Deposited: | 23 Oct 2013 09:05 |
| Last Modified: | 11 Dec 2024 23:49 |
| URI: | http://eprints.lse.ac.uk/id/eprint/53740 |
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