The Impact of Fiscal and Monetary Policy on the Cross-Sectional Value Factor
I find strong evidence that the cross-sectional value factor's returns are impacted by fiscal and monetary policy in the post-Bretton Woods era. Using a custom set of 768 value factors formed on the intersection of five portfolio construction design choices, which I take to represent the conce...
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| Format: | Thesis |
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Massachusetts Institute of Technology
2023
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| Online Access: | https://hdl.handle.net/1721.1/151403 |