A four-factor dynamic factor model from global macro variables explains cross-sectional equity returns in ten G20 countries better than the single-factor CAPM.
Likelihood‐based dynamic factor analysis for measurement and forecasting
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Pricing Global Macroeconomic Risk in Equity Markets: Evidence from Selected G20 Economies
A four-factor dynamic factor model from global macro variables explains cross-sectional equity returns in ten G20 countries better than the single-factor CAPM.