Lagged Economic Exposure of Stock Returns: Role of Firm Nature of Business Effect
This study examines the role of firm nature of business effect (financial vs. non-financial) in determining the lagged effect of economic factors on stock returns. Study applied generalized autoregressive conditional heteroskedasticity model GARCH (1, 1). The results of the study indicate that with...
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Format: | Article |
Language: | English |
Published: |
Mashhad: Behzad Hassannezhad Kashani
2020-03-01
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Series: | International Journal of Management, Accounting and Economics |
Subjects: | |
Online Access: | https://www.ijmae.com/article_115004_d83723482482461b2fd57e3821ad7ed8.pdf |