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.
2018-02-23 09:35:00 Friday ET

Warren Buffett releases his annual letter to Berkshire Hathaway shareholders as of February 2018. Buffett discusses Berkshire's core cash ambition, its
2018-01-15 07:35:00 Monday ET

Treasury Secretary Steven Mnuchin welcomes a weak U.S. dollar amid pervasive fears of an open trade war between America and China. At the World Economic For
2018-05-23 09:41:00 Wednesday ET

Many U.S. large public corporations spend their tax cuts on new dividend payout and share buyback but not on new job creation and R&D innovation. These
2018-09-05 08:34:00 Wednesday ET

Citron Research short-sellers initiate a class-action lawsuit against Tesla and its executive chairman Elon Musk because he might have deliberately orchestr
2019-12-28 09:36:00 Saturday ET

Global debt surges to $250 trillion in the fiscal year 2019. The International Institute of Finance analytic report shows that both China and the U.S. accou
2019-11-01 12:31:00 Friday ET

Kourtney Kardashian shares the best money advice from her father. This advice reminds her that money just cannot buy happiness. As the eldest of the Kardash