Insights on the global macro-finance interface : structural sources of risk factor fluctuations and the cross-section of expected stock returns
Claudio Morana
| Year of publication: |
2014
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|---|---|
| Authors: | Morana, Claudio |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 29.2014, p. 64-79
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| Subject: | Macro-finance interface | Risk factors | Size, value, momentum, liquidity, volatility and leverage effects | Factor vector autoregressive model | Volatilität | Volatility | Kapitaleinkommen | Capital income | VAR-Modell | VAR model | Risiko | Risk | CAPM | Schätzung | Estimation | Kapitalmarktrendite | Capital market returns | Portfolio-Management | Portfolio selection | Schock | Shock | Risikoprämie | Risk premium |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011300504