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State variables, macroeconomic activity, and the cross section of individual stocks · Study

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ArticleState variables, macroeconomic activity, and the cross section of individual stocks

Martijn Boons2016

OA

Articlegreen2016

State variables, macroeconomic activity, and the cross section of individual stocks

108 citations·0/0 files stored·Journal of Financial Economics

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

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References

1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1996Multifactor Explanations of Asset Pricing Anomalies 1973An Intertemporal Capital Asset Pricing Model 1991Efficient Capital Markets: II 1986Economic Forces and the Stock Market

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2017Short-Term Interest Rates and Stock Market Anomalies 2018Asset Growth, Profitability, and Investment Opportunities 2018Economic activity and momentum profits: Further evidence 2020A Global Macroeconomic Risk Model for Value, Momentum, and Other Asset Classes 2020Time-varying state variable risk premia in the ICAPM 2022Cryptocurrency returns under empirical asset pricing

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Year2016

Typearticle

Published2016-01-21

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations108

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2015.05.010

openalex_workW3125467723

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