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The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the...
1. Introduction
4. Data and Empirical Results
4.3. Derivation of Factors from Macro Economic Data
1. Introduction
2 . A Brief Literature Review
3. The Methodology
4. Data and Empirical Results
4.1. Description of Data Sets and Sample Period
4.2. Macroeconomic Data
4.3. Derivation of Factors from Macro Economic Data
4.4. Construction of Portfolios
4.5. Estimation of Factor Beta Coefficients
4.6. Estimation of Factor Risk Premia and Significance Tests of Factor Betas on Asset Returns
5. Conclusions
References
Appendix
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E-Book
The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework / Erdinc Altay
Place and Date of Creation
Halle (Saale)
2003
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