文章基本信息

标题：Macro determinants of U.S. stock market risk premia in bull and bear markets
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作者：Fabian Baetje ; Lukas Menkhoff
期刊名称：Diskussionspapiere / Universität Hannover
印刷版ISSN：0949-9962
出版年度：2013
卷号：2013
出版社：Hannover
摘要：This research uses macro factors to explain four standard U.S. stock market risk premia, i.e. the market excess return (RM-RF), size (SMB), value (HML), and momentum (WML). We find in-sample predictive power of macro factors, in particular at a one-year horizon. Differentiating between bull and bear market states roughly doubles forecast performance compared to neglecting market states. All four stock market risk premia can be explained with R-squares of 10% to 25%. However, macro factors have limited predictive power in a true out-of-sample setting
关键词：stock market; risk premia; factor analysis; market states