Innovative Macroeconomic Value Determinants
0
조회
0
다운로드
2
인용
0
참고문헌
키워드
초록
In this paper, we test a captivating proposition that the innovative (difference) and interactive terms of macroeconomic variables significantly improve our understanding of the stock return movements. We revisit a prominent issue on the association of the stock return with macroeconomic variables such as default risk premium, term structure of interest rates, growth in GDP and inflation and provide an innovative perspective on the obsolete issue. Using the S&P 500 Industrial Composite Index, we report that the innovative and interactive terms of the variables appear to be significant determinants of the stock return. Our findings suggest that other return models take the innovative and interaction effects into account.
Abstract
In this paper, we test a captivating proposition that the innovative (difference) and interactive terms of macroeconomic variables significantly improve our understanding of the stock return movements. We revisit a prominent issue on the association of the stock return with macroeconomic variables such as default risk premium, term structure of interest rates, growth in GDP and inflation and provide an innovative perspective on the obsolete issue. Using the S&P 500 Industrial Composite Index, we report that the innovative and interactive terms of the variables appear to be significant determinants of the stock return. Our findings suggest that other return models take the innovative and interaction effects into account.
참고문헌 (17)
- 김종권, "주식수익률에 대한 거시경제변수의 영향분석", 재무관리연구, 16, pp.155~170 (1999)
- Aretz, K., "Macroeconomic risks and characteristic-based factor models", Journal of Banking and Finance, 34, pp.1383~1399 (2010)
- Beaver, W., "Financial Reporting : An Accounting Revolution" (1989), Prentice-Hall
- Bernard, V., "Capital market research in accounting during the 1980s : A critical review, In The State of Accounting Research as We Enter the 1990s" (1989), University of Illinois at Urbana-Champaign
- Bernstein, W. J., "Earning growth : The two percent solution", Financial Analysts Journal, 59, pp.47~55 (2003)
- Estep, P. W., "A new method for valuing common stocks", Financial Analysts Journal, 41, pp.26~33 (1985)
- Foerster, S. R., "The dividend discount model in the long-run : A clinical study", Journal of Applied Finance, 15, pp.55~75 (2005)
- Real and inflationary macroeconomic risk in the Fama and French size and book-to-market portfolios, "Kelly, P. J.", EFMA 2003 Helsinki Meetings, ~ (2003)
- Lev, B., "Market-based empirical research in accounting : A review, interpretation, and extension", Journal of Accounting Research, 20, pp.249~322 (1982)
- Liew, J., "Can book-to-market, size and momentum be risk factors that predict economic growth?", Journal of Financial Economics, 57, pp.221~245 (1999)
- Lintner, J., "The valuation of risk assets and selection of risky investments in stock portfolios and capital budgets", Review of Economics and Statistics, 47, pp.13~37 (1965)
- Lintner, J., "Securities prices, risk, and maximal gains from diversification", The Journal of Finance, 20, pp.587~615 (1965)
- Mossin, J., "Equilibrium in a capital asset market", Econometrica, 34, pp.768~783 (1966)
- Park, J. W., "Business Cycles, and the Relationship between the Volatility and the Stock Market Risk Premium", Korean Journal of Financial Management, 28, pp.209~237
- Sharpe, W. F., "Capital asset prices : A theory of market equilibrium under conditions of risk", Journal of Finance, 19, pp.425~442 (1964)
- Wilcox, J. W., "The P", B-ROE valuation model, 1984, pp.40, 58~66
- Zhang, Q. J., "The link between macro-economic factors and style returns", Journal of Asset Management, 10, pp.338~355 (2009)