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Common Factors in Security Returns: Microeconomic Determinants and Macroeconomic Correlates

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  • Barr Rosenberg and Vinay Marathe.

Abstract

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Suggested Citation

  • Barr Rosenberg and Vinay Marathe., 1976. "Common Factors in Security Returns: Microeconomic Determinants and Macroeconomic Correlates," Research Program in Finance Working Papers 44, University of California at Berkeley.
    • Handle: RePEc:ucb:calbrf:44
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    Cited by:

    1. Dolinar, Denis & Orsag, Silvije & Suman, Paola, 2015. "Test Of The Chen-Roll-Ross Macroeconomic Factor Model: Evidence From Croatian Stock Market," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 6(2), pages 185-196.
    2. Eckhard Platen & Renata Rendek, 2017. "Market Efficiency and Growth Optimal Portfolio," Papers 1706.06832, arXiv.org.
    3. Matthew F. Dixon & Nicholas G. Polson & Kemen Goicoechea, 2022. "Deep Partial Least Squares for Empirical Asset Pricing," Papers 2206.10014, arXiv.org.
    4. Martin Wallmeier, 2000. "Determinanten erwarteter Renditen am deutschen Aktienmarkt — Eine empirische Untersuchung anhand ausgewählter Kennzahlen," Schmalenbach Journal of Business Research, Springer, vol. 52(1), pages 27-57, February.
    5. Guanhao Feng & Jingyu He & Nicholas G. Polson, 2018. "Deep Learning for Predicting Asset Returns," Papers 1804.09314, arXiv.org, revised Apr 2018.
    6. Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2012. "Sell-order liquidity and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 523-541.

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