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Macroeconomic Factors Do Influence Aggregate Stock Returns · Study

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PreprintMacroeconomic Factors Do Influence Aggregate Stock Returns

Mark Jeffrey Flannery2002

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Preprintgreen2002

Macroeconomic Factors Do Influence Aggregate Stock Returns

Mark Jeffrey Flannery · Aris Protopapadakis

235 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1976The arbitrage theory of capital asset pricing 1973An Intertemporal Capital Asset Pricing Model 1986Economic Forces and the Stock Market 1996The Conditional CAPM and the Cross-Section of Expected Returns 1996Measuring Fund Strategy and Performance in Changing Economic Conditions 1988What Moves Stock Prices?1989Why Does Stock Market Volatility Change Over Time?19965 Stochastic volatility

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2005Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets 2009The Determinants of Stock and Bond Return Comovements 2005Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission 2006Does Earnings Guidance Affect Market Returns? The Nature and Information Content of Aggregate Earnings Guidance 2006Monetary Shocks and REIT Returns 2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

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2002Macroeconomic Factors Do Influence Aggregate Stock Returnsarticle · 12 shared references 2004Macro variables and international stock return predictabilityarticle · 7 shared references 1999Conditioning Variables and the Cross-Section of Stock Returnspreprint · 7 shared references 2007The intertemporal relation between expected returns and riskarticle · 7 shared references 2011Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphasarticle · 7 shared references 1999Conditioning Variables and the Cross Section of Stock Returnsarticle · 6 shared references

Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations235

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.314261

openalex_workW1596348951

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