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

Claudio Morana

Journal of Empirical Finance, 2014, vol. 29, issue C, 64-79

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, Carhart momentum, 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 cause, persistence and direction of the size, value and momentum effects, and new insights on the specification of systematic risk, are provided.

Keywords: Macro-finance interface; Risk factors; Size, value, momentum, liquidity, volatility and leverage effects; Factor vector autoregressive model (search for similar items in EconPapers)
JEL-codes: C3 G1 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (16)

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Working Paper: Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns (2013)
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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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:29:y:2014:i:c:p:64-79

DOI: 10.1016/j.jempfin.2014.06.001

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