Since 2014
The Influences Of Macroeconomic Forces On The Value-Momentum Spread Of Global Equities
International Business & Economics Research Journal
View Archive Info| Field | Value | |
| Title |
The Influences Of Macroeconomic Forces On The Value-Momentum Spread Of Global Equities
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| Creator |
Hsieh, Heng-Hsing
Hodnett, Kathleen van Rensburg, Paul |
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| Subject |
Finance
Style Timing; Style Rotation; Economic Cycle; Global Financial Crisis; Economic Indicators; Active and Passive Portfolio Management |
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| Description |
We extend our prior research on the determinants of the value-momentum spread of global equities to investigate the macroeconomic influences on this spread. The common arbitrage pricing theory (APT) macroeconomic forces identified by Chen, Roll and Ross (1986) are employed in a univariate test. Two significant variables extracted from the univariate test include the growth in the industrial production of advanced economies and the U.S. dollar strength relative to the currencies of developed economies. When these two variables are included in a two-factor regression, it is found that the industrial production growth is negatively correlated with the value-momentum spread, while the U.S. dollar strength is positively correlated with the value-momentum spread. Due to the fact that the value-momentum spread declines near the market peak and increases when the market crashes, the growth in industrial production could be regarded as an expansionary indicator and the U.S. dollar strength could be regarded as a contractionary indicator for future economic trends.
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| Publisher |
The Clute Institute
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| Contributor |
National Research Foundation (NRF) of South Africa
Research office of the University of the Western Cape |
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| Date |
2012-07-17
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
https://www.cluteinstitute.com/ojs/index.php/IBER/article/view/7159
10.19030/iber.v11i5.7159 |
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| Source |
International Business & Economics Research Journal (IBER); Vol 11 No 5 (2012); 497-506
2157-9393 1535-0754 10.19030/iber.v11i5 |
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| Language |
eng
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| Relation |
https://www.cluteinstitute.com/ojs/index.php/IBER/article/view/7159/7232
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