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

Claudio Morana

No 138, CeRP Working Papers from Center for Research on Pensions and Welfare Policies, Turin (Italy)

Abstract: This study contributes to the investigation of the macro-finance interface by assessing the economic content and risk based interpreta- tion 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 liq- uidity and Adrian-Etula-Muir leverage factors. Strong support for their risk based interpretation, encompassing evidence on causes, per- sistence and direction of the size, value and momentum e!ects, and new insights on the specification of systematic risk, are provided.

Pages: 66 pages
Date: 2013-12
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Citations: View citations in EconPapers (3)

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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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Persistent link: https://EconPapers.repec.org/RePEc:crp:wpaper:138

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