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.
2022-09-15 11:38:00 Thursday ET

Capital structure choices for private firms The Kauffman Firm Survey (KFS) database provides comprehensive panel data on 5,000+ American private firms fr
2019-05-02 13:30:00 Thursday ET

Netflix has an unsustainable business model in the meantime. Netflix maintains a small premium membership fee of $9-$14 per month for its unique collection
2025-08-09 11:31:00 Saturday ET

Wharton e-commerce entrepreneurship professor Dr Karl Ulrich explains that many top-notch universities now provide massive open online courses (MOOCs) for m
2020-03-12 09:32:00 Thursday ET

Google CEO Eric Schmidt and his co-authors show the innovative corporate culture and mission of the Internet search tech titan. Eric Schmidt, Jonathan Ro
2018-03-01 07:35:00 Thursday ET

Trump imposes high tariffs on steel (25%) and aluminum (10%) in a new trade war with subsequent exemptions for Canada and Mexico. The Trump administration
2019-10-19 16:35:00 Saturday ET

European economic integration seems to have gone backwards primarily due to the recent Brexit movement. Brexit, key European sovereign debt, and French and