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영어
This paper adapts macro economic growth models to asset pricing and tries to understand the link between asset returns and firm level economic changes. This paper places emphasis on firm level macro economic variables. We attempt to use accounting data of each firm in the context of macro economic growth models. The work expects the difference of implied and estimated growth rate of a firm is useful signal for the current stock value. The model performs about as well as Fama-French 3 Factor Model. The paper suggests macro economic growth models for growth estimation.
목차
Abstract
1. Introduction
2. The Economic Growth Model and its application
3. Data and Samples
4. Empirical Results
4.1 The Preliminary Analysis of the Data
4.2 Estimation Results of Economic Growth Models
4.3 The Analysis of the Growth Deciles Portfolio Returns
4.4The Factor Test
6. Conclusions
References
Table
1. Introduction
2. The Economic Growth Model and its application
3. Data and Samples
4. Empirical Results
4.1 The Preliminary Analysis of the Data
4.2 Estimation Results of Economic Growth Models
4.3 The Analysis of the Growth Deciles Portfolio Returns
4.4The Factor Test
6. Conclusions
References
Table
저자정보
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자료제공 : 네이버학술정보