In this study, I examine how the value premium varies with macroeconomic conditions across 22 countries using yearly data from 1961 to 2021. In the study I proxy for the state of the business cycle by means of six macroeconomic factors (GDP growth, unemployment, inflation, export, import). Equipped with these data, I assess several risk-based explanations from the literature on the drivers of the value premium.
Value premium and macroeconomic conditions: Evidence from cross-country data
Khalilov, Akbar
2022/2023
Abstract
In this study, I examine how the value premium varies with macroeconomic conditions across 22 countries using yearly data from 1961 to 2021. In the study I proxy for the state of the business cycle by means of six macroeconomic factors (GDP growth, unemployment, inflation, export, import). Equipped with these data, I assess several risk-based explanations from the literature on the drivers of the value premium.File in questo prodotto:
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.14247/3696