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The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the...
1. Introduction
4. Data and Empirical Results
4.5. Estimation of Factor Beta Coefficients
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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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
Entstehung
Halle (Saale)
2003
Rechtsdrehung 90°
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