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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
The effect of macroeconomic variables on the size, value and momentum factor in Germany

The effect of macroeconomic variables on the size, value and momentum factor in Germany

Zimmermann, Marwin

Paperback

Investing & Finance

ISBN10: 3668843406
ISBN13: 9783668843400
Publisher: Grin Verlag
Published: Dec 21 2018
Pages: 58
Weight: 0.19
Height: 0.14 Width: 5.83 Depth: 8.27
Language: English
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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