2020 NOV 18 (NewsRx) — By a
Our news editors obtained a quote from the research from the
According to the news editors, the research concluded: “We show that for US data, inflation’s innovations not only proxy for RMW, but a model including only excess market returns, shocks to CPI and term structure’s slope explain the cross section of average returns better than innovations to the previous literature’s four-variable set and Fama-French five-factor model.”
This research has been peer-reviewed.
For more information on this research see: The Fama-french’s Five-factor Model Relation With Interest Rates and Macro Variables.
The news editors report that additional information may be obtained by contacting
The direct object identifier (DOI) for that additional information is: https://doi.org/10.1016/j.najef.2020.101197. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.
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