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Evaluating Complexity and Macroeconomic Variables in Multifactor Models
Scott, Michael
Scott, Michael
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2020
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2020-05-19
Abstract
The purpose of this paper is to identify the benefits of using multifactor models compared to the uni-factor CAPM equation. The paper then examines the explanatory power of common variables in multifactor explanations for expected returns and categorizes these variables into macroeconomic factors and firm-specific factors. This examination will help identify what macroeconomic factors play a substantial role in expected returns and whether the model benefits more by including firm-specific factors compared to macroeconomic factors.
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Finance