Abell, J.D. ; Krueger, T.M. Macroeconomic influences on beta. 1989 Journal of Economics and Business. 41 185-193
Addoum, J.M. ; Kumar, A. Political sentiment and predictable returns. 2016 Review of Financial Studies. 29 3471-3518
- Ali, A. ; Hwang, L.-S. ; Trombley, M.A. Arbitrage risk and the book-to-market anomaly. 2003 Journal of Financial Economics. 69 355-373
Paper not yet in RePEc: Add citation now
Amihud, Y. Illiquidity and stock returns: Cross-section and time-series effects. 2002 Journal of Financial Markets. 5 31-56
Andersen, T.G. ; Bollerslev, T. ; Diebold, F.X. ; Wu, J. A framework for exploring the macroeconomic determinants of systematic risk. 2005 American Economic Review. 95 398-404
- Ang, A. ; Chen, J. ; Xing, Y.H. Downside risk. 2006 Review of Financial Studies. 19 1191-1239
Paper not yet in RePEc: Add citation now
Antoniou, C. ; Doukas, J.A. ; Subrahmanyam, A. Investor sentiment, Beta, and the cost of equity capital. 2016 Management Science. 62 347-367
- Arisoy, Y.E. ; Bali, T.G. ; Tang, Y. Investor regret and stock returns. 2024 Management Science. -
Paper not yet in RePEc: Add citation now
Ashour, S. ; Hao, G.Q. ; Harper, A. Investor sentiment, style investing, and momentum. 2023 Journal of Financial Markets. 62 -
Asness, C.S. ; Moskowitz, T.J. ; Pedersen, L.H. Value and momentum everywhere. 2013 Journal of Finance. 68 929-985
Atanasov, V. Unemployment and aggregate stock returns. 2021 Journal of Banking & Finance. 129 -
Avramov, D. ; Chordia, T. Asset pricing models and financial market anomalies. 2006 Review of Financial Studies. 19 1001-1040
Bai, J. ; Ng, S. Determining the number of factors in approximate factor models. 2002 Econometrica. 70 191-221
- Baker, M. ; Wurgler, J. Investor sentiment and the cross-section of stock returns. 2006 Journal of Finance. 61 1645-1680
Paper not yet in RePEc: Add citation now
Baker, S.R. ; Bloom, N. ; Davis, S.J. Measuring economic policy uncertainty. 2016 Quarterly Journal of Economics. 131 1593-1636
Bali, T.G. ; Brown, S.J. ; Tang, Y. Is economic uncertainty priced in the cross-section of stock returns?. 2017 Journal of Financial Economics. 126 471-489
Barahona, R. ; Driessen, J. ; Frehen, R. Can unpredictable risk exposure be priced?. 2021 Journal of Financial Economics. 139 522-544
Bloomfield, R. ; Michaely, R. Risk or mispricing? From the mouths of professionals. 2004 Financial Management. 33 61-81
Boons, M. State variables, macroeconomic activity, and the cross section of individual stocks. 2016 Journal of Financial Economics. 119 489-511
Boyer, B. ; Mitton, T. ; Vorkink, K. Expected idiosyncratic skewness. 2010 Review of Financial Studies. 23 169-202
Brunnermeier, M. ; Farhi, E. ; Koijen, R.S.J. ; Krishnamurthy, A. ; Ludvigson, S.C. ; Lustig, H. ; Piazzesi, M. Review article: Perspectives on the future of asset pricing. 2021 Review of Financial Studies. 34 2126-2160
Campbell, J.Y. ; Mei, J.P. Where do betas come from - asset price dynamics and the sources of systematic-risk. 1993 Review of Financial Studies. 6 567-592
Carhart, M.M. On persistence in mutual fund performance. 1997 Journal of Finance. 52 57-82
Cecchetti, S.G. ; Lam, P.-S. ; Mark, N.C. Asset pricing with distorted beliefs: Are equity returns too good to be true?. 2000 American Economic Review. 90 787-805
Chen, N.-F. ; Roll, R. ; Ross, S.A. Economic forces and the stock market. 1986 Journal of Business. 59 383-403
Chordia, T. ; Subrahmanyam, A. ; Anshuman, V.R. Trading activity and expected stock returns. 2001 Journal of Financial Economics. 59 3-32
Cochrane, J.H. Presidential address: Discount rates. 2011 Journal of Finance. 66 1047-1108
Connolly, R.A. ; Stivers, C. ; Sun, L. Stock returns and inflation shocks in weaker economic times. 2022 Financial Management. 51 827-867
Cooper, I. ; Mitrache, A. ; Priestley, R. A global macroeconomic risk model for value, momentum, and other asset classes. 2022 Journal of Financial and Quantitative Analysis. 57 1-30
- Croux, C. ; Filzmoser, P. ; Fritz, H. Robust sparse principal component analysis. 2013 Technometrics. 55 202-214
Paper not yet in RePEc: Add citation now
Datar, V.T. ; Naik, N.Y. ; Radcliffe, R. Liquidity and stock returns: An alternative test. 1998 Journal of Financial Markets. 1 203-219
Dew-Becker, I. ; Giglio, S. ; Kelly, B. Hedging macroeconomic and financial uncertainty and volatility. 2021 Journal of Financial Economics. 142 23-45
Dong, X. ; Li, Y. ; Rapach, D.E. ; Zhou, G. Anomalies and the expected market return. 2022 Journal of Finance. 77 639-681
- Erichson, N.B. ; Zheng, P. ; Manohar, K. ; Brunton, S.L. ; Kutz, J.N. ; Aravkin, A.Y. Sparse principal component analysis via variable projection. 2020 SIAM Journal on Applied Mathematics. 80 977-1002
Paper not yet in RePEc: Add citation now
Fama, E.F. ; French, K.R. A five-factor asset pricing model. 2015 Journal of Financial Economics. 116 1-22
Fama, E.F. ; French, K.R. Common risk factors in the returns on stocks and bonds. 1993 Journal of Financial Economics. 33 3-56
Fama, E.F. ; MacBeth, J.D. Risk, return, and equilibrium: Empirical tests. 1973 Journal of Political Economy. 81 607-636
Feng, G. ; Giglio, S. ; Xiu, D. Taming the factor zoo: A test of new factors. 2020 Journal of Finance. 75 1327-1370
- Flannery, M.J. ; Protopapadakis, A.A. Macroeconomic factors do influence aggregate stock returns. 2015 Review of Financial Studies. 15 751-782
Paper not yet in RePEc: Add citation now
Francis, J.C. ; Fabozzi, F.J. The effects of changing macroeconomic conditions on the parameters of the single index market model. 1979 Journal of Financial and Quantitative Analysis. 14 351-360
Frazzini, A. ; Pedersen, L.H. Betting against beta. 2014 Journal of Financial Economics. 111 1-25
- Ghosh, A. ; Julliard, C. ; Taylor, A.P. What is the consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models. 2016 Review of Financial Studies. 30 442-504
Paper not yet in RePEc: Add citation now
Giglio, S. ; Liao, Y. ; Xiu, D. Thousands of alpha tests. 2021 Review of Financial Studies. 34 3456-3496
Gonçalves, A.S. ; Leonard, G. The fundamental-to-market ratio and the value premium decline. 2023 Journal of Financial Economics. 147 382-405
González, M. ; Nave, J. ; Rubio, G. Macroeconomic determinants of stock market betas. 2018 Journal of Empirical Finance. 45 26-44
Green, J. ; Hand, J.R.M. ; Zhang, X.F. The characteristics that provide independent information about average US monthly stock returns. 2017 Review of Financial Studies. 30 4389-4436
- Hirshleifer, D. ; Sheng, J. Macro news and micro news: Complements or substitutes?. 2022 Journal of Financial Economics. 145 -
Paper not yet in RePEc: Add citation now
Hollstein, F. ; Prokopczuk, M. ; Wese Simen, C. Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section. 2019 Journal of Financial Markets. 44 91-118
Hou, K. ; Mo, H. ; Xue, C. ; Zhang, L. An augmented q-factor model with expected growth. 2021 Review of Finance. 25 1-41
Hou, K. ; Xue, C. ; Zhang, L. Digesting anomalies: An investment approach. 2015 Review of Financial Studies. 28 650-705
Hou, K. ; Xue, C. ; Zhang, L. Replicating anomalies. 2020 Review of Financial Studies. 33 2019-2133
- Huang, D. ; Jiang, F. ; Tu, J. ; Zhou, G. Investor sentiment aligned: A powerful predictor of stock returns. 2014 Review of Financial Studies. 28 791-837
Paper not yet in RePEc: Add citation now
Jiang, F. ; Qi, X. ; Tang, G. Q-theory, mispricing, and profitability premium: Evidence from China. 2018 Journal of Banking & Finance. 87 135-149
Jin, Z. Business aspects in focus, investor underreaction and return predictability. 2024 Journal of Corporate Finance. 84 -
Johnstone, I.M. ; Lu, A.Y. On consistency and sparsity for principal components analysis in high dimensions. 2009 Journal of the American Statistical Association. 104 682-693
Kang, J. ; Kim, T.S. ; Lee, C. ; Min, B.-K. Macroeconomic risk and the cross-section of stock returns. 2011 Journal of Banking & Finance. 35 3158-3173
- Keamer, C. Macroeconomic seasonality and the January effect. 1994 Journal of Finance. 49 1883-1891
Paper not yet in RePEc: Add citation now
Kelly, B.T. ; Moskowitz, T.J. ; Pruitt, S. Understanding momentum and reversal. 2021 Journal of Financial Economics. 140 726-743
Kelly, B.T. ; Pruitt, S. ; Su, Y.A. Characteristics are covariances: A unified model of risk and return. 2019 Journal of Financial Economics. 134 501-524
Keloharju, M. ; Linnainmaa, J.T. ; Nyberg, P. Are return seasonalities due to risk or mispricing?. 2021 Journal of Financial Economics. 139 138-161
- Kim, D. ; Qi, Y. Accruals quality, stock returns, and macroeconomic conditions. 2010 Accounting Review. 85 937-978
Paper not yet in RePEc: Add citation now
Koijen, R.S.J. ; Lustig, H. ; Van Nieuwerburgh, S. The cross-section and time series of stock and bond returns. 2017 Journal of Monetary Economics. 88 50-69
Korniotis, G.M. ; Kumar, A. State-level business cycles and local return predictability. 2013 Journal of Finance. 68 1037-1096
Kozak, S. ; Nagel, S. ; Santosh, S. Shrinking the cross-section. 2020 Journal of Financial Economics. 135 271-292
Kuehn, L.-A. ; Simutin, M. ; Wang, J.J. A labor capital asset pricing model. 2017 The Journal of Finance. 72 2131-2178
Lam, F.Y.E.C. ; Wei, K.C.J. Limits-to-arbitrage, investment frictions, and the asset growth anomaly. 2011 Journal of Financial Economics. 102 127-149
Lettau, M. ; Ludvigson, S.C. Resurrecting the (C)CAPM: A cross-sectional test when risk premia are time-varying. 2001 Journal of Political Economy. 109 1238-1287
Leung, W.S. ; Evans, K.P. ; Mazouz, K. The R&D anomaly: Risk or mispricing?. 2020 Journal of Banking & Finance. 115 -
Li, D. ; Zhang, L. Does q-theory with investment frictions explain anomalies in the cross section of returns?. 2010 Journal of Financial Economics. 98 297-314
Liu, L.X. ; Zhang, L. Momentum profits, factor pricing, and macroeconomic risk. 2008 Review of Financial Studies. 21 2417-2448
- Lu, Z.J. ; Murray, S. Bear beta. 2019 Journal of Financial Economics. 131 736-760
Paper not yet in RePEc: Add citation now
McCracken, M.W. ; Ng, S. FRED-MD: A monthly database for macroeconomic research. 2016 Journal of Business & Economic Statistics. 34 574-589
Muir, T. Financial crises and risk Premia. 2017 Quarterly Journal of Economics. 132 765-809
Newey, W. ; West, K. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. 1987 Econometrica. 55 703-708
- Novy-Marx, R. ; Velikov, M. Betting against betting against beta. 2022 Journal of Financial Economics. 143 80-106
Paper not yet in RePEc: Add citation now
Parker, J.A. ; Julliard, C. Consumption risk and the cross section of expected returns. 2005 Journal of Political Economy. 113 185-222
- Rapach, D. ; Zhou, G. Sparse macro factors. 2021 :
Paper not yet in RePEc: Add citation now
- Ren, Y. ; Xie, T. Consumption, aggregate wealth and expected stock returns: A fractional cointegration approach. 2018 Quantitative Finance. 18 2101-2112
Paper not yet in RePEc: Add citation now
Robichek, A.A. ; Cohn, R.A. The economic determinants of systematic risk. 1974 Journal of Finance. 29 439-447
Roussanov, N. Composition of wealth, conditioning information, and the cross-section of stock returns. 2014 Journal of Financial Economics. 111 352-380
Shanken, J. ; Weinstein, M.I. Economic forces and the stock market revisited. 2006 Journal of Empirical Finance. 13 129-144
Shen, H.P. ; Huang, J.H.Z. Sparse principal component analysis via regularized low rank matrix approximation. 2008 Journal of Multivariate Analysis. 99 1015-1034
Stambaugh, R.F. ; Yu, J. ; Yuan, Y. The short of it: Investor sentiment and anomalies. 2012 Journal of Financial Economics. 104 288-302
Ülkü, N. ; Baker, S. Country world betas: The link between the stock market beta and macroeconomic beta. 2014 Finance Research Letters. 11 36-46
- Witten, D.M. ; Tibshirani, R. ; Hastie, T. A penalized matrix decomposition, with applications to sparse principal components and canonical correlation analysis. 2009 Biostatistics. 10 515-534
Paper not yet in RePEc: Add citation now
Xu, Z. ; Li, X. ; Chevapatrakul, T. ; Gao, N. Default risk, macroeconomic conditions, and the market skewness risk premium. 2022 Journal of International Money and Finance. 127 -
Young, S.D. ; Berry, M.A. ; Harvey, D.W. ; Page, J.R. Macroeconomic forces, systematic risk, and financial variables: An empirical investigation. 1991 Journal of Financial and Quantitative Analysis. 26 559-564
Zhu, X. ; Zhu, J. Predicting stock returns: A regime-switching combination approach and economic links. 2013 Journal of Banking & Finance. 37 4120-4133