Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market
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DOI: 10.2478/v10305-012-0023-z
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- Dubravka Benaković & Petra Posedel, 2010. "Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market," EFZG Working Papers Series 1012, Faculty of Economics and Business, University of Zagreb.
References listed on IDEAS
- Benaković Dubravka & Posedel Petra, 2010.
"Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market,"
Business Systems Research, Sciendo, vol. 1(1-2), pages 39-46, January.
- Dubravka Benaković & Petra Posedel, 2010. "Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market," EFZG Working Papers Series 1012, Faculty of Economics and Business, University of Zagreb.
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"Inflation Risk Premia In The Term Structure Of Interest Rates,"
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- Peter Hoerdahl & Oreste Tristani, 2007. "Inflation risk premia in the term structure of interest rates," BIS Working Papers 228, Bank for International Settlements.
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Cited by:
- Širůček, Martin, 2015. "Kauzalní vztah peněžní nabídky a amerického akciového trhu [Money supply and US stock market causality]," MPRA Paper 66357, University Library of Munich, Germany, revised 30 Aug 2015.
- Muinde Patrick Mumo, 2017. "Effects of Macroeconomic Volatility on Stock Prices in Kenya: A Cointegration Evidence from the Nairobi Securities Exchange (NSE)," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(2), pages 1-14, February.
- Benaković Dubravka & Posedel Petra, 2010.
"Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market,"
Business Systems Research, Sciendo, vol. 1(1-2), pages 39-46, January.
- Dubravka Benaković & Petra Posedel, 2010. "Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market," EFZG Working Papers Series 1012, Faculty of Economics and Business, University of Zagreb.
- Kvainickas Tomas Sovijus & Stankevičienė Jelena, 2019. "Regional Limitations of Stock Indices Prediction Models Based on Macroeconomic Variables," Economics and Culture, Sciendo, vol. 16(2), pages 5-20, December.
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- Naveen R.S. & N. Sivakumar, 2016. "Impact of Macro-Economic Factors on Sectoral Indices – Evidence from Indian Markets," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 5(3), pages 174-182, August.
- Dolinar Denis & Zoričić Davor & Golubić Zrinka Lovretin, 2019. "Application of semi-deviation as a proxy for the expected return estimation in the Croatian equity market," Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 5(1), pages 9-20, May.
- Katarzyna Kubiszewska & Marcin Potrykus, 2020. "Balkan Stock Exchanges – Consideration of the Length of the Estimation Window in Similar Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 1047-1067.
- Maitra, Debasish & Rehman, Mobeen Ur & Dash, Saumya Ranjan & Kang, Sang Hoon, 2021. "Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications," Energy Economics, Elsevier, vol. 102(C).
- Sirucek, Martin, 2013. "Vliv peněžní nabídky na akciové bubliny v Japonsku [The impact of money supply on japanesee stock bubbles]," MPRA Paper 62817, University Library of Munich, Germany, revised 2013.
- Tomasz Schabek & Bojana Olgiæ Draženoviæ & Davor Mance, 2019. "Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(2), pages 741-758.
- Endang Mahpudin, 2020. "The Effect of Macroeconomics on Stock Price Index in the Republic of China," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(3), pages 228-236.
- Mihovil An?elinovi? & Livija Valenti? & Ana Pavkovi?, 2020. "Equity Fund Performance and Sector Diversification," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 9(1), pages 25-43, June.
- Martin Širůček, 2013.
"Impact of money supply on stock bubbles,"
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 61(7), pages 2835-2842.
- Sirucek, Martin, 2013. "Impact of money supply on stock bubbles," MPRA Paper 51476, University Library of Munich, Germany.
- Zaimovic Azra & Arnaut-Berilo Almira & Mustafic Arnela, 2017. "Portfolio Diversification in the South-East European Equity Markets," South East European Journal of Economics and Business, Sciendo, vol. 12(1), pages 126-135, April.
- Muinde Patrick Mumo, 2017. "The Determinants of Stock Returns in the Emerging Market of Kenya: An Empirical Evidence," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(9), pages 8-21, September.
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More about this item
Keywords
Factor models; risk premium; stock returns; estimated sensitivities; regression analysis; Factor models; risk premium; stock returns; estimated sensitivities; regression analysis;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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