From macro to micro: Sparse macroeconomic risks and the cross-section of stock returns-Reference-Cited by-同舟云学术

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From macro to micro: Sparse macroeconomic risks and the cross-section of stock returns

Published:2024-10 Issue: Volume:95 Page:103433
ISSN:1057-5219
Container-title:International Review of Financial Analysis
language:en
Short-container-title:International Review of Financial Analysis

Author:

Zhu Lin,Jiang Fuwei,Tang Guohao,Jin Fujing

Funder

Fundamental Research Funds for the Central Universities

China Postdoctoral Science Foundation

National Natural Science Foundation of China

National Office for Philosophy and Social Sciences

Chinese National Funding of Social Sciences

Publisher

Elsevier BV

Reference88 articles.

1. Macroeconomic influences on beta;Abell;Journal of Economics and Business,1989

2. Political sentiment and predictable returns;Addoum;Review of Financial Studies,2016

3. Arbitrage risk and the book-to-market anomaly;Ali;Journal of Financial Economics,2003

4. Illiquidity and stock returns: Cross-section and time-series effects;Amihud;Journal of Financial Markets,2002

5. A framework for exploring the macroeconomic determinants of systematic risk;Andersen;American Economic Review,2005

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