Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns

by Claudio Morana: WP CeRP 138/13; versione aggiornata giugno 2014

Abstract

This study contributes to the investigation of the macro-finance interface by assessing the economic content and risk based interpreta- tion of widely employed risk factors in the specification of empirical asset pricing models, i.e., Fama-French size and value, and Carhart momentum factors, as well as the more recent Pastor-Stambaugh liq- uidity and Adrian-Etula-Muir leverage factors. Strong support for their risk based interpretation, encompassing evidence on causes, per- sistence and direction of the size, value and momentum e!ects, and new insights on the specification of systematic risk, are provided.

Data di pubblicazione: Dicembre 2013, versione aggiornata giugno 2014

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