996 resultados para Charlotte (Mich.)
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This paper adopts dynamic factor models with macro-finance predictors to test the intertemporal risk-return relation for 13 European stock markets. We identify country specific, euro area, and global macro-finance factors to determine the conditional risk and return. Empirically, the risk- return trade-off is generally negative. However, a Markov switching model documents that there is time-variation in this trade-off that is linked to the state of the economy. Keywords: Risk-return trade-off; Dynamic factor model; Macro-finance predictors; European stock markets; Markov switching model JEL Classifications: C22; G11; G12; G17
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In this paper, we scrutinize the cross-sectional relation between idiosyncratic volatility and stock returns. As a novelty, the idiosyncratic volatility is obtained by conditioning upon macro-finance factors as well as upon traditional asset pricing factors. The macro-finance factors are constructed from a large pool of macroeconomic and financial variables. Cleaning for macro-finance e§ects reverses the puzzling negative relation between returns and idiosyncratic volatility documented previously. Portfolio analysis shows that the effects from macro-finance factors are economically strong. The relation between idiosyncratic volatility and returns does not vary with the NBER business cycles. The empirical results are highly robust. Keywords: Idiosyncratic volatility puzzle; Macro-finance predictors; Factor analysis; Business cycle. JEL Classifications: G12; G14
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Arkit: A-B4.
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Dedicatio: Laurentius Tammelin, Jacobus Garwolius, Michael Polviander, Martinus Polviander, Gustavus Rothovius, Justus Schultz Joh. fil., Johannes H. Wittfooth.
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Invocatio: HEPREAA.
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Arkit: A-C4 D2.
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Invocatio: M.G.H.
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Invocatio: I.N.S.S.T.
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Dedicatio: Mich. Montin.
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Invocatio: Q.F.S.F.Q.
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Mennanderin gratulaatio painettu uudelleen: Das Inland (Dorpat) 1856 pg. 562-563
