Home > Library > Stock market alphas help predict macroeconomic innovations.
Author Andy Yeh Alpha
This research article delves into mutual causation between stock market alphas and macroeconomic innovations. The online appendix provides complete econometric details and algorithms for empirical analysis. This empirical analysis includes the recursive multivariate filtration of Fama-French dynamic conditional alphas, ARMA-GARCH representation of both dynamic conditional alphas and betas, and vector autoregression analysis of mutual causation between alpha spreads and macro surprises.
Description:
We extract dynamic conditional factor premiums from the Fama-French factor model and find that most anomalies disappear after we account for time variation in these premiums. New vector autoregression evidence shows that mutual causation between dynamic conditional alphas and macroeconomic surprises serves as a core qualifying condition for fundamental factor selection. This economic insight is an incremental step toward drawing a distinction between rational risk and behavioral mispricing models. As dynamic conditional alphas often reveal the marginal investor’s fundamental news and expectations about the cross-section of average asset returns, our economic insight helps enrich macroeconomic asset return prediction.
This research article delves into mutual causation between stock market alphas and macroeconomic innovations. The online appendix provides complete econometric details and algorithms for empirical analysis. This empirical analysis includes the recursive multivariate filtration of Fama-French dynamic conditional alphas, ARMA-GARCH representation of both dynamic conditional alphas and betas, and vector autoregression analysis of mutual causation between alpha spreads and macro surprises.
This analytic ebook cannot constitute any form of financial advice, analyst opinion, recommendation, or endorsement. We refrain from engaging in financial advisory services, and we seek to offer our analytic insights into the latest economic trends, stock market topics, investment memes, and other financial issues. Our proprietary alpha investment algorithmic system helps enrich our AYA fintech network platform as a new social community for stock market investors: https://ayafintech.network.
We share and circulate these informative posts and essays with hyperlinks through our blogs, podcasts, emails, social media channels, and patent specifications. Our goal is to help promote better financial literacy, inclusion, and freedom of the global general public. While we make a conscious effort to optimize our global reach, this optimization retains our current focus on the American stock market.
This ebook shares new economic insights, investment memes, and stock portfolio strategies through both blog posts and patent specifications on our AYA fintech network platform. AYA fintech network platform is every investor's social toolkit for profitable investment management. We can help empower stock market investors through technology, education, and social integration.
2019-03-03 10:39:00 Sunday ET
Tech companies seek to serve as quasi-financial intermediaries. Retail traders can list items for sale on eBay and then acquire these items economically on
2018-10-19 13:37:00 Friday ET
PayPal earns great fintech reputation from its massive worldwide network of 250+ million active users. As PayPal beats the revenue and profit expectations o
2024-10-27 07:56:01 Sunday ET
Stock Synopsis: China Internet tech titans continue to grow amid greater competition. We launch our unique coverage of top 25 China Internet stocks. In t
2018-01-12 07:37:00 Friday ET
The Economist delves into the modern perils of tech titans such as Apple, Amazon, Facebook, and Google. These key tech titans often receive plaudits for mak
2016-11-09 00:00:00 Wednesday ET
Universally dismissed as a vanity presidential candidate when he entered a field crowded with Republican talent, the former Democrat and former Independent
2019-07-19 18:40:00 Friday ET
We can decipher valuable lessons from the annual letters to shareholders written by Amazon CEO Jeff Bezos. Amazon is highly customer-centric because the wor