Size, Book-to-Market Ratio and Macroeconomic News

Cenesizoglu, Tolga

doi:10.2139/ssrn.940034

Cited by 14 publications

(31 citation statements)

References 65 publications

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“…The second strand of the literature, and the one most closely related to the current paper, relates the factors to measures of macroeconomic risk. Most often, the macroeconomic risk measures considered are GDP growth and inflation, but they sometimes include other measures such as industrial production, nonfarm payroll, money supply growth, and others (Liew and Vassalou, ; Vassalou, ; Aretz et al., ; Cenesizoglu, ). The central paper examining the sources of macroeconomic risk associated with the Fama and French () factors is Liew and Vassalou ().…”

Section: Literature Reviewmentioning

confidence: 99%

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Macroeconomic Expectations and the Size, Value, and Momentum Factors

Bergbrant¹,

Kelly

2016

Financial Management

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When examining the sources of risk associated with priced factors, the prior literature often uses macroeconomic realizations to proxy for changes in expectations. However, realizations can be biased, so instead we use changes in macroeconomic forecasts and macroeconomic news surprises. The sensitivity of common factors to macroeconomic risks is not robust, and generally economically and statistically insignificant. Sometimes the factors even hedge risk. Importantly, the weak relation between the factors and risks is not the result of low powered tests. These findings are inconsistent with the notion that the factors are priced because they proxy for the macroeconomic risks examined.

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Section: Literature Reviewmentioning

confidence: 99%

“…However, these same announcements do not significantly affect the size and value factors themselves. In the second part of our paper, we build on Cenesizoglu () not only by extending our examination across more markets, but also by examining whether HML, SMB, and WML returns reflect these macroeconomic risks.…”

Section: Literature Reviewmentioning

confidence: 99%

Macroeconomic Expectations and the Size, Value, and Momentum Factors

Bergbrant¹,

Kelly

2016

Financial Management

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“…The intertemporal capital asset pricing model (ICAPM) of Merton (1973) suggests that state variables that predict time variation in future investment opportunity sets should be included as factors in asset pricing models. Among the most important candidates for state variables in multi-factor asset pricing models are innovations in macroeconomic variables such as GDP or consumption growth, employment rate and short-term interest rates (Cenesizoglu, 2010). This sort of analysis has been done on the Indonesian economy.…”

Section: Literature Reviewmentioning

confidence: 99%

The Relationship of the Macroeconomic Variables with the Growth of Garment Industry in Bangladesh

Hossain

Islam

2015

Glob. discl. econ. bus.

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In this research paper, we have tried to find out the relationship between the growth rate of garment industry and the macroeconomic variables. And for this we have conducted three types of analysis. First one is quantitative analysis; a second one is qualitative analysis, and the last one is a beta concept. Quantitative analysis has covered graphical presentation and multiple regression analysis. The graphical presentation just provides an overall idea about the relationship of variables, but it is an abstract concept. In case of regression analysis, we have used one dependent variable that is the growth rate of garment industry and seven independent variables those are growth rate of real GDP, the unemployment rate, inflation rate, interest rate, level of stock market, exchange rate. And stata-10 software has been used to run the regression model. After running the programmed it is seen that there have some econometric problems. By using the logarithm, we have solved those problems. A multiple regression analysis has been made to know the extent to which these variables affect the garment export growth rate. From that analysis, it has been found that about 70% variations in the growth rate of garments export can be defined by these variables. Then an equation for predicting future garments export has been constructed. Qualitative analysis has encompassed economic and political issues. After this, for knowing the individual effect of the variables, a beta concept has been employed and from that analysis it has been found that no variable affect garments export to a large extent. At the end of the analysis it can be said that, individual effect of the macroeconomic variables on the growth rate of garments export is not much but when they are combined, they can influence the garments export growth rate. As they are also related with each other which means change in one macroeconomic variable may change all the other variables. Therefore, a combined effect always remains. So, we can say that macroeconomic variables influence the garment industry of our country but not to a great extent.

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“…However, he does not consider other scheduled macroeconomic announcements. In a related study, Cenesizoglu (2011) investigates the daily return reactions of style-sorted portfolios to various macroeconomic announcements. He finds that large and growth stocks tend to react significantly and negatively to 'good' employment news, but no evidence of a significant reaction in small and value 3 stocks.…”

Section: Introductionmentioning

confidence: 99%

“…He finds that large and growth stocks tend to react significantly and negatively to 'good' employment news, but no evidence of a significant reaction in small and value 3 stocks. Both Cenesizoglu (2011) and Maio (2014) only consider the reactions of the first moment of returns. The present study extends their work by considering higher moment in the form of systematic cojumps.…”

Section: Introductionmentioning

confidence: 99%

Systematic cojumps, market component portfolios and scheduled macroeconomic announcements

Chan

Bowman

Neely

2017

Journal of Empirical Finance

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This study provides evidence of common bivariate jumps (i.e., systematic cojumps) between the market index and style-sorted portfolios. Systematic cojumps are prevalent in book-tomarket portfolios and hence, their risk cannot easily be diversified away by investing in growth or value stocks. Nonetheless, large-cap firms have less exposure to systematic cojumps than small-cap firms. Probit regression reveals that systematic cojump occurrences are significantly associated with worse-than-expected scheduled macroeconomic announcements, especially those pertaining to the Federal Funds target rate. Tobit regression shows that Federal Funds news surprises are also significantly related to the magnitude of systematic cojumps.

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Size, Book-to-Market Ratio and Macroeconomic News

Cited by 14 publications

References 65 publications

Macroeconomic Expectations and the Size, Value, and Momentum Factors

Macroeconomic Expectations and the Size, Value, and Momentum Factors

The Relationship of the Macroeconomic Variables with the Growth of Garment Industry in Bangladesh

Systematic cojumps, market component portfolios and scheduled macroeconomic announcements

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