Marwin Zimmermann

The effect of macroeconomic variables on the size, value and momentum factor in Germany (eBook, PDF)

• Format: PDF

Produktbeschreibung

Bachelor Thesis from the year 2018 in the subject Business economics - Investment and Finance, grade: 1,0, University of Passau, language: English, abstract: Today there are dozens of papers existing which investigate the relationship between macroeconomic variables such as GDP growth, exchange rates, inflation, etc. and the 4 factors used in the Carhart 4-factor model. However, most of the papers select corresponding control variables a priori and might miss some macroeconomic variables which hold much information about one of the factors. Overcoming this problem constitutes the core of this paper. With a three tiered statistical procedure which comprises the use of clustering and LASSO regressions I am aiming at solving that challenge. I start with more than 300 macroeconomic control variables which proxy for all possible variables out there and select those with the highest explanatory power.

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Produktdetails

• Verlag: GRIN Verlag
• Seitenzahl: 51
• Erscheinungstermin: 26. November 2018
• Englisch
• ISBN-13: 9783668843394
• Artikelnr.: 54629994