Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns

No 264, Working Papers from University of Milano-Bicocca, Department of Economics

Abstract: This study contributes to the investigation of the macro-finance interface by assessing the economic content and risk based interpretation of widely employed risk factors in the specification of empirical asset pricing models, i.e., Fama-French size and value, and Carhart momentum factors, as well as the more recent Pastor-Stambaugh liquidity and Adrian-Etula-Muir leverage factors. Strong support for their risk based interpretation, encompassing evidence on causes, persistence and direction of the size, value and momentum effects, and new insights on the specification of systematic risk, are provided.

Keywords: macro-…nance interface; risk factors; size; value; momentum liquidity and leverage effects; factor vector autoregressive model (search for similar items in EconPapers)
JEL-codes: C22 G12 (search for similar items in EconPapers)
Pages: 74
Date: 2013-12, Revised 2013-12
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Citations: View citations in EconPapers (3)

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http://repec.dems.unimib.it/repec/pdf/mibwpaper264.pdf First version, 2013 (application/pdf)

Related works:
Journal Article: Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns (2014)
Working Paper: Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns (2013)
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