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Macroeconomic Expectations and State-Dependent Factor Returns

https://doi.org/10.2139/ssrn.4602939
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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On a mixture vector autoregressive model
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Vector smooth transition regression models for US GDP and the composite index of leading indicators
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The arbitrage theory of capital asset pricing
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Asset returns and inflation
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Business conditions and expected returns on stocks and bonds
inferredcites →https://doi.org/10.1016/b978-0-12-822927-9.00022-7openalex-extracted
Measuring market expectations
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Momentum and Crash Sensitivity
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Bias in macroeconomic forecasts
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Macroeconomic risks and characteristic-based factor models
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What does the yield curve tell us about GDP growth?
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Gaussian mixture vector autoregression
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Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance
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Is value riskier than growth?
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The strategy of professional forecasting☆
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The impact of risk and uncertainty on expected returns☆
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Testing conditional factor models
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Asset pricing: A tale of two days
inferredcites →https://doi.org/10.1016/j.jfineco.2015.07.004openalex-extracted
Regression-based estimation of dynamic asset pricing models
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Do macro variables, asset markets, or surveys forecast inflation better?
inferredcites →https://doi.org/10.1017/s0022109000002052openalex-extracted
Yield Spreads as Alternative Risk Factors for Size and Book-to-Market
inferredcites →https://doi.org/10.1017/s0022109009090127openalex-extracted
Anchoring Bias in Consensus Forecasts and Its Effect on Market Prices
inferredcites →https://doi.org/10.1017/s1365100522000517openalex-extracted
The Financial Accelerator in the Euro Area: New Evidence Using a Mixture VAR Model
inferredcites →https://doi.org/10.1057/jam.2009.32openalex-extracted
The link between macro-economic factors and style returns
inferredcites →https://doi.org/10.1080/01621459.1998.10473779openalex-extracted
Testing and Modeling Multivariate Threshold Models
inferredcites →https://doi.org/10.1080/07350015.2015.1061436openalex-extracted
Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
inferredcites →https://doi.org/10.1086/260061openalex-extracted
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1086/261755openalex-extracted
The Variation of Economic Risk Premiums
inferredcites →https://doi.org/10.1086/296344openalex-extracted
Economic Forces and the Stock Market
inferredcites →https://doi.org/10.1086/714090openalex-extracted
Asset Pricing with Omitted Factors
inferredcites →https://doi.org/10.1093/rfs/1.3.195openalex-extracted
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
inferredcites →https://doi.org/10.1093/rfs/hhm055openalex-extracted
Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
inferredcites →https://doi.org/10.1093/rfs/hhn090openalex-extracted
Momentum Profits, Factor Pricing, and Macroeconomic Risk
inferredcites →https://doi.org/10.1111/0022-1082.00077openalex-extracted
Investor Psychology and Security Market Under‐ and Overreactions
inferredcites →https://doi.org/10.1111/0022-1082.00144openalex-extracted
Presidential Address: Expected Return, Realized Return, and Asset Pricing Tests
inferredcites →https://doi.org/10.1111/0022-1082.00490openalex-extracted
Differences of Opinion and the Cross Section of Stock Returns
inferredcites →https://doi.org/10.1111/fima.12140openalex-extracted
Macroeconomic Expectations and the Size, Value, and Momentum Factors
inferredcites →https://doi.org/10.1111/j.1538-4616.2009.00209.xopenalex-extracted
Disagreement and Biases in Inflation Expectations
inferredcites →https://doi.org/10.1111/j.1540-6261.1977.tb03317.xopenalex-extracted
RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04702.xopenalex-extracted
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-extracted
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00650.xopenalex-extracted
Default Risk in Equity Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00725.xopenalex-extracted
The Value Premium
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00849.xopenalex-extracted
Do the Fama–French Factors Proxy for Innovations in Predictive Variables?
inferredcites →https://doi.org/10.1111/jmcb.12592openalex-extracted
State‐Dependent Transmission of Monetary Policy in the Euro Area
inferredcites →https://doi.org/10.1111/jofi.12544openalex-extracted
Why Does Return Predictability Concentrate in Bad Times?
inferredcites →https://doi.org/10.1146/annurev-financial-121415-032930openalex-extracted
Analysts’ Forecasts and Asset Pricing: A Survey
inferredcites →https://doi.org/10.1162/003465302317411604openalex-extracted
On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations
inferredcites →https://doi.org/10.1198/jbes.2009.0025openalex-extracted
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
inferredcites →https://doi.org/10.1287/mnsc.2013.1815openalex-extracted
Economic Uncertainty, Disagreement, and Credit Markets
inferredcites →https://doi.org/10.17016/feds.2007.12openalex-extracted
Anchoring Bias in Consensus Forecasts and its Effect on Market Prices
inferredcites →https://doi.org/10.2139/ssrn.1202002openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2353011openalex-extracted
Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
inferredcites →https://doi.org/10.2139/ssrn.2524547openalex-extracted
Facts and Fantasies About Factor Investing
inferredcites →https://doi.org/10.2139/ssrn.3738667openalex-extracted
The Financial Accelerator in the Euro Area: New Evidence Using a Mixture VAR Model
inferredcites →https://doi.org/10.2139/ssrn.4035650openalex-extracted
Dynamic Mixture Vector Autoregressions with Score-Driven Weights
inferredcites →https://doi.org/10.2139/ssrn.753724openalex-extracted
Momentum Profits, Factor Pricing, and Macroeconomic Risk
inferredcites →https://doi.org/10.2139/ssrn.811530openalex-extracted
Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
inferredcites →https://doi.org/10.2307/1912559openalex-extracted
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
inferredcites →https://doi.org/10.2307/1913811openalex-extracted
An Intertemporal Capital Asset Pricing Model
inferredcites →https://doi.org/10.2307/1928739openalex-extracted
Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series
inferredcites →https://doi.org/10.2307/2329262openalex-extracted
Contrarian Investment, Extrapolation, and Risk
inferredcites →https://doi.org/10.2307/2331355openalex-extracted
Multifactor Portfolio Efficiency and Multifactor Asset Pricing
inferredcites →https://doi.org/10.2307/2953682openalex-extracted
Postwar U.S. Business Cycles: An Empirical Investigation
inferredcites →https://doi.org/10.3386/w29803openalex-extracted
Dynamics of Subjective Risk Premia
inferredcites →https://doi.org/10.3386/w6324openalex-extracted
A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets
inferredcites →https://doi.org/10.3905/jpm.2022.1.455openalex-extracted
Trends and Cycles of Style Factors in the 20th and 21st Centuries
inferredcites →https://doi.org/10.3982/ecta11069openalex-extracted
Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
inferredcites →https://doi.org/10.1086/262026openalex-snapshot
Understanding Risk and Return
inferredcites →https://doi.org/10.1093/rfs/hhj001openalex-snapshot
Explaining Returns with Cash-Flow Proxies
inferredcites →https://doi.org/10.1111/0022-1082.00184openalex-snapshot
A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
inferredcites →https://doi.org/10.1111/iere.12501openalex-snapshot
MULTIMODALITY IN MACROFINANCIAL DYNAMICS
inferredcites →https://doi.org/10.1111/j.1540-6261.1994.tb04772.xopenalex-snapshot
Contrarian Investment, Extrapolation, and Risk

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Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Drought-induced macroeconomic effects on China: a time-frequency domain analysis
inferred← citeshttps://doi.org/10.54097/p68szh73openalex-snapshot
A Literature Review on the Impact of Macroeconomic Expectations on Equity Risk Premium
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