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Macroeconomic risks and characteristic-based factor models · Study

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ArticleMacroeconomic risks and characteristic-based factor models

Kevin Aretz2009

Article2009

Macroeconomic risks and characteristic-based factor models

Kevin Aretz · Söhnke M. Bartram · Peter F. Pope

135 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 135 citations exist upstream.

References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1976The arbitrage theory of capital asset pricing 1973An Intertemporal Capital Asset Pricing Model 1986Economic Forces and the Stock Market 1988Dividend yields and expected stock returns 1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 2004Default Risk in Equity Returns

Cited by

2013Are extreme returns priced in the stock market? European evidence 2017Agnostic fundamental analysis works 2012Crossing the lines: The conditional relation between exchange rate exposure and stock returns in emerging and developed markets 2011Do industries matter in explaining stock returns and asset-pricing anomalies?2010The Market Impact of Relative Agency Activity in the Sovereign Ratings Market 2019Integration and risk contagion in financial crises: Evidence from international stock markets 2014Bank risk factors and changing risk exposures: Capital market evidence before and during the financial crisis 2013On Monetary Policy and Stock Market Anomalies

Details

Year2009

Typearticle

Published2009-12-12

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations135

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/j.jbankfin.2009.12.006

openalex_workW2244022646

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