We use a factor-augmented vector autoregression (FAVAR) to estimate the impact of monetary policy shocks on the cross-section of stock returns. Our FAVAR combines unobserved factors extracted from a large set of nancial ...

The aim of this study is to assess the impact of credit risk in the Brazilian stock cross-section return, and evaluate if a strategy based on this feature is able to generate positive and significant alpha. To measure ...

This online appendix reports additional robustness checks for our main results. Wepresent a set of tables with summary statistics for portfolios sorted on higher idiosyncraticmoments (expected skewness, realized skewness, ...

The main objective of this dissertation is to propose an Asset Pricing Model that identifies the risk factors explaining the time series and cross-section variations in the returns of the Mexican Stock Market. This analysis ...

Commodity studies have concluded that the traditional Capital Asset Pricing Model (CAPM) has failed to explain the cross-section of commodity futures returns. However, these studies are based exclusively on shortest ...