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Economic forces and the stock market revisited

Citations

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Cited by:

  1. Smajlbegovic, Esad, 2019. "Regional Economic Activity and Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(3), pages 1051-1082, June.
  2. Dimitrios D. Thomakos & Michail S. Koubouros, 2011. "The Role of Realised Volatility in the Athens Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 15(1-2), pages 87-124, March - J.
  3. Du, Ding & Denning, Karen & Zhao, Xiaobing, 2012. "Real aggregate activity and stock returns," Journal of Economics and Business, Elsevier, vol. 64(5), pages 323-337.
  4. Liang-Chun HO & Chia-Hsing HUANG, 2016. "Nonlinear Relationships between Oil Price and Stock Index – Evidence from Brazil, Russia, India and China," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 116-126, September.
  5. Kuntara Pukthuanthong-Le & Nuttawat Visaltanachoti, 2009. "Idiosyncratic volatility and stock returns: a cross country analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 19(16), pages 1269-1281.
  6. Hasan, M.Emrul, 2010. "Behavioral approach to Arbitrage Pricing Theory," MPRA Paper 26343, University Library of Munich, Germany.
  7. Sim, Nicholas, 2016. "Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 31-45.
  8. Numan Ülkü & Kexing Wu, 2023. "Stock Market's Response to Real Output Shocks in China: A VARwAL Estimation," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 31(5), pages 1-25, September.
  9. Khalaf, Lynda & Schaller, Huntley, 2016. "Identification and inference in two-pass asset pricing models," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 165-177.
  10. Magdalena Morgese Borys & Petr ZemÄÂik, 2011. "Size and Value Effects in the Visegrad Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(3), pages 50-68, May.
  11. Wei Liu & James W. Kolari, 2022. "Multifactor Market Indexes," JRFM, MDPI, vol. 15(4), pages 1-26, March.
  12. Afees A. Salisu & Raymond Swaray & Tirimisyu F. Oloko, 2017. "A multi-factor predictive model for oil-US stock nexus with persistence, endogeneity and conditional heteroscedasticity effects," Working Papers 024, Centre for Econometric and Allied Research, University of Ibadan.
  13. Rhee, S. Ghon & Wang, Jianxin, 2009. "Foreign institutional ownership and stock market liquidity: Evidence from Indonesia," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1312-1324, July.
  14. Chen, Liang, 2012. "Identifying observed factors in approximate factor models: estimation and hypothesis testing," MPRA Paper 37514, University Library of Munich, Germany.
  15. repec:mfj:journl:v:16:y:2011:i:1-2:p:87-124 is not listed on IDEAS
  16. Hammami Yacine & Jilani Faouzi, 2011. "Testing Factor Pricing Models in Tunisia: Macroeconomic Factors vs. Fundamental Factors," Review of Middle East Economics and Finance, De Gruyter, vol. 7(2), pages 1-22, September.
  17. Zheng, Xinwei & Su, Dan, 2017. "Impacts of oil price shocks on Chinese stock market liquidity," International Review of Economics & Finance, Elsevier, vol. 50(C), pages 136-174.
  18. Zhu, Lin & Jiang, Fuwei & Tang, Guohao & Jin, Fujing, 2024. "From macro to micro: Sparse macroeconomic risks and the cross-section of stock returns," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  19. Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2014. "Detecting big structural breaks in large factor models," Journal of Econometrics, Elsevier, vol. 180(1), pages 30-48.
  20. Lindaas, Knut F. & Simlai, Prodosh, 2014. "The value premium, aggregate risk innovations, and average stock returns," Finance Research Letters, Elsevier, vol. 11(3), pages 303-317.
  21. Salisu, Afees A. & Swaray, Raymond & Oloko, Tirimisiyu F., 2019. "Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables," Economic Modelling, Elsevier, vol. 76(C), pages 153-171.
  22. Samson, Lucie, 2013. "Asset prices and exchange risk: Empirical evidence from Canada," Research in International Business and Finance, Elsevier, vol. 28(C), pages 35-44.
  23. Thuy Thu Nguyen & Hong Thi Mai & Tram Thi Minh Tran, 2020. "Monetary Policy and Stock Market Returns: Evidence from ARDL Bounds Testing Approach for the Case of Vietnam," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(7), pages 758-777, July.
  24. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2017. "Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 110-129, January.
  25. Bruzda, Joanna, 2019. "Complex analytic wavelets in the measurement of macroeconomic risks," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  26. Bartram, Söhnke M. & Bodnar, Gordon M., 2012. "Crossing the lines: The conditional relation between exchange rate exposure and stock returns in emerging and developed markets," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 766-792.
  27. Zura Kakushadze, 2015. "Heterotic Risk Models," Papers 1508.04883, arXiv.org, revised Jan 2016.
  28. Pedro Antonio Martín-Cervantes & María del Carmen Valls Martínez, 2023. "Unraveling the relationship between betas and ESG scores through the Random Forests methodology," Risk Management, Palgrave Macmillan, vol. 25(3), pages 1-29, September.
  29. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2010. "Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 763-782, September.
  30. Frank Weikai Li, 2016. "Macro Disagreement and the Cross-Section of Stock Returns," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 6(1), pages 1-45.
  31. Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011. "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, vol. 102(2), pages 363-389.
  32. Maria Elena De Giuli & Alessandro Greppi & Marina Resta, 2019. "An Object-Oriented Bayesian Framework for the Detection of Market Drivers," Risks, MDPI, vol. 7(1), pages 1-18, January.
  33. Shanken, Jay & Zhou, Guofu, 2007. "Estimating and testing beta pricing models: Alternative methods and their performance in simulations," Journal of Financial Economics, Elsevier, vol. 84(1), pages 40-86, April.
  34. Cristiane Gea & Luciano Vereda & Eduardo Ogasawara, 2024. "Detection of Uncertainty Events in the Brazilian Economic and Financial Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1507-1538, September.
  35. Hitz, Lukas & Mustafi, Ismail H. & Zimmermann, Heinz, 2022. "The pricing of volatility risk in the US equity market," International Review of Financial Analysis, Elsevier, vol. 79(C).
  36. Ülkü, Numan & Kuruppuarachchi, Duminda & Kuzmicheva, Olga, 2017. "Stock market's response to real output shocks in Eastern European frontier markets: A VARwAL model," Emerging Markets Review, Elsevier, vol. 33(C), pages 140-154.
  37. Johan Knif & James W. Kolari & Gregory Koutmos & Seppo Pynnönen, 2019. "Measuring the relative return contribution of risk factors," Journal of Asset Management, Palgrave Macmillan, vol. 20(4), pages 263-272, July.
  38. Luo Wang & Bin Li & Benjamin Liu, 2017. "Can Macroeconomic Variables Explain Managed Fund Returns? The Australian Case," Economic Papers, The Economic Society of Australia, vol. 36(2), pages 171-184, June.
  39. Johan Knif & James W. Kolari & Gregory Koutmos & Seppo Pynonen, 2023. "Modeling the Time Variation in Factor Exposures," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 12(2), pages 1-2.
  40. Entrop, Oliver & Fuchs, Fabian U., 2020. "Implicit currency carry trades of companies," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe B-41-20, University of Passau, Faculty of Business and Economics.
  41. Shafaai, Shafizal & Masih, Mansur, 2013. "Determinants of cost of equity: The case of Shariah-compliant Malaysian firms," MPRA Paper 62364, University Library of Munich, Germany.
  42. Zura Kakushadze & Willie Yu, 2016. "Statistical Risk Models," Papers 1602.08070, arXiv.org, revised Jan 2017.
  43. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
  44. Core, John E. & Guay, Wayne R. & Verdi, Rodrigo, 2008. "Is accruals quality a priced risk factor?," Journal of Accounting and Economics, Elsevier, vol. 46(1), pages 2-22, September.
  45. Zura Kakushadze & Willie Yu, 2016. "Multifactor Risk Models and Heterotic CAPM," Papers 1602.04902, arXiv.org, revised Mar 2016.
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