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36 records from EconBiz based on author Name
1. Macroeconomic Factors Do Influence Aggregate Stock Returns
Flannery, Mark J.; Protopapadakis, Aris A.;2013
2. Macroeconomic Factors Do Influence Aggregate Stock Returns
abstractStock market returns are known to be significantly correlated with inflation and money growth. The impact of real macroeconomic variables on aggregate equity returns has been difficult to establish, perhaps because their effects are neither linear nor time-invariant. We estimate a GARCH model of daily equity returns, in which realized returns and their conditional volatility depend on seventeen macro series' announcements. We find six candidates for priced factors: three nominal (CPI, PPI, and a Monetary Aggregate) and three real (the Balance of Trade, the Employment Report, and Housing Starts).Notably absent from this list are popular measures of overall economic activity, such as Industrial Production or GNP
Flannery, Mark J.; Protopapadakis, Aris A.;2004
Availability: Link Link
Citations: 13 (based on OpenCitations)
3. Do technical profits remain in the foreign exchange market? : evidence from 14 currencies
Cialenco, Igor; Protopapadakis, Aris A.;2011
Type: Aufsatz in Zeitschrift; Article in journal;
4. Macroeconomic factors do influence aggregate stock returns
Flannery, Mark J.; Protopapadakis, Aris A.;2002
Type: Aufsatz in Zeitschrift; Article in journal;
5. Macroeconomic Factors Do Influence Aggregate Stock Returns
abstractStock market returns are known to be significantly correlated with inflation and money growth. The impact of real macroeconomic variables on aggregate equity returns has been difficult to establish, perhaps because their effects are neither linear nor time-invariant. We estimate a GARCH model of daily equity returns, in which realized returns and their conditional volatility depend on seventeen macro series' announcements. We find six candidates for priced factors: three nominal (CPI, PPI, and a Monetary Aggregate) and three real (the Balance of Trade, the Employment Report, and Housing Starts).Notably absent from this list are popular measures of overall economic activity, such as Industrial Production or GNP
Flannery, Mark J.; Protopapadakis, Aris A.;2003
6. The Book-to-Market and size effects in a general asset pricing model : evidence from seven national markets
Maroney, Neal; Protopapadakis, Aris A.;2002
Type: Aufsatz in Zeitschrift; Article in journal;
7. Macroeconomic Factors Do Influence Aggregate Stock Returns
Flannery, Mark J.; Protopapadakis, Aris A.;2002
8. Macroeconomic Factors Do Influence Aggregate Stock Returns
Flannery, Mark J.; Protopapadakis, Aris A.;2002
9. From T-bills to common stocks : investigating the generality of intra-week return seasonality
Flannery, Mark J.; Protopapadakis, Aris A.;1988
Type: Aufsatz in Zeitschrift; Article in journal;
10. Are money growth and inflation related to government deficits? : evidence from ten industrialized economies
Protopapadakis, Aris A.; Siegel, Jeremy J.;1987
Type: Aufsatz in Zeitschrift; Article in journal;