Macro disagreement and the cross-section of stock returns

Macro disagreement and the cross-section of stock returns

This paper examines the effects of macro-level disagreement on the cross-section of stock returns. Using forecast dispersion measure from Survey of Professional Forecasters database, I find that when forecast dispersion on macroeconomic factor is high, stocks that have high loadings on that factor e...

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書目詳細資料
主要作者:	LI, Frank Weikai
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2016
主題:	Macro Disagreement Macroeconomic Risk Factors Mispricing Behavioral Finance Corporate Finance Finance and Financial Management
在線閱讀:	https://ink.library.smu.edu.sg/lkcsb_research/5288 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6287/viewcontent/SSRN_id2423758.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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