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dc.contributor.authorFjeldberg, Anders
dc.contributor.authorRuud, Jan Einar
dc.date.accessioned2018-12-14T14:05:13Z
dc.date.available2018-12-14T14:05:13Z
dc.date.issued2018
dc.identifier.urihttp://hdl.handle.net/11250/2577810
dc.descriptionMasteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018nb_NO
dc.description.abstractMacroeconomic factors and their influence on stock returns is a widely discussed topic in both previous and recent academic literature. In this paper, we examine whether macroeconomic factors affect U.S. stock market returns or their conditional volatilities. We approach this by estimating an EGARCH model of monthly stock returns, where returns and their conditional volatilities depend on different macroeconomic factors` changes. This analysis successfully finds three candidates (CPI, IP, and M1) affecting the level of returns and two candidates (GDP and M1) affecting the conditional volatility of those returns. The wellknown measure for unemployment (UNEMP) is not represented as a potential candidate.nb_NO
dc.language.isoengnb_NO
dc.publisherHandelshøyskolen BInb_NO
dc.subjectfinansnb_NO
dc.subjectfinancenb_NO
dc.titleDo macroeconomic factors affect U.S. stock market returns?nb_NO
dc.typeMaster thesisnb_NO


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