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The link between macro-economic factors and style returns · Study

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ArticleThe link between macro-economic factors and style returns

Qi J Zhang2009

Article2009

The link between macro-economic factors and style returns

Qi J Zhang · Stephen Satchell · Robert Schwob

32 citations·0/0 files stored·Journal of Asset Management

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Reporting and Valuation Research

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References

1993Common risk factors in the returns on stocks and bonds 1992The Cross-Section of Expected Stock Returns 1996Multifactor Explanations of Asset Pricing Anomalies 1973An Intertemporal Capital Asset Pricing Model 1986Economic Forces and the Stock Market 2000Sample Splitting and Threshold Estimation 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis 1991The Variation of Economic Risk Premiums

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2019Identifying Significant Macroeconomic Indicators for Indian Stock Markets 2016Macroeconomic Expectations and the Size, Value, and Momentum Factors

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Year2009

Typearticle

Published2009-12-01

VenueJournal of Asset Management

ISSN-L1470-8272

Languageen

Citations32

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1057/jam.2009.32

openalex_workW2061114812

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