2020
DOI: 10.1111/jfir.12221
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Predicting Systematic Risk With Macroeconomic and Financial Variables

Abstract: We analyze the predictive power of several macroeconomic and financial indicators in forecasting quarterly realized betas of 30 industry and 25 size and book‐to‐market portfolios. We model realized betas as autoregressive processes of order 1 and include lagged values of macroeconomic and financial indicators as exogenous predictor variables. In out‐of‐sample forecasting exercises, forecasts using bond market variables as exogenous predictors statistically outperform forecasts from a benchmark model without an… Show more

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Cited by 3 publications
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“…e data acquisition module mainly realizes server data acquisition and manual data acquisition. By deploying a data collection server in the financial department and connecting with the internal network of e-government, the real-time data collection function and real-time data collection are realized [19,20]. ere are also two servers in the computer room of the audit department.…”
Section: Data Collection For Evaluation Of College Financial Internal...mentioning
confidence: 99%
“…e data acquisition module mainly realizes server data acquisition and manual data acquisition. By deploying a data collection server in the financial department and connecting with the internal network of e-government, the real-time data collection function and real-time data collection are realized [19,20]. ere are also two servers in the computer room of the audit department.…”
Section: Data Collection For Evaluation Of College Financial Internal...mentioning
confidence: 99%