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  • The effects of common macroeconomics factors on U.S stock returns 

    Authors:Şengül, Serkan
    Publisher and Date:(Kadir Has University, 2014)
    In this study, the macro variables' explanatory power in relation to the variation of stock returns has been discussed in terms of the economy of the USA. In order to make an analysis on the cross section of the stock returns, 131 Macroeconomic variables between 1964 and 2007 have been put into use. Summing up the information in 131 monthly series, dynamic factor analysis is used to take out 8 potential factors. So that the pragmatic presentation of the factor model can be measured, Fama-Macbeth's ...