{"product_id":"the-effect-of-macroeconomic-variables-on-the-size-value-and-momentum-factor-in-germany","title":"The effect of macroeconomic variables on the size, value and momentum factor in Germany","description":"\u003cp\u003eBachelor Thesis from the year 2018 in the subject Business economics - Investment and Finance, grade: 1,0, University of Passau, language: English, abstract: Today there are dozens of papers existing which investigate the relationship between macroeconomic variables such as GDP growth, exchange rates, inflation, etc. and the 4 factors used in the Carhart 4-factor model. However, most of the papers select corresponding control variables a priori and might miss some macroeconomic variables which hold much information about one of the factors. Overcoming this problem constitutes the core of this paper. With a three tiered statistical procedure which comprises the use of clustering and LASSO regressions I am aiming at solving that challenge. I start with more than 300 macroeconomic control variables which proxy for all possible variables out there and select those with the highest explanatory power.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783668843400\"\u003e\u003ch3\u003e\u003c\/h3\u003e\u003c\/div\u003e","brand":"Libri","offers":[{"title":"Softcover - 9783668843400","offer_id":39452293398621,"sku":"9783668843400","price":27.95,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/45f0ece5-ee87-409f-a899-ebce2d71e97c.jpg?v=1778564811","url":"https:\/\/shop.autorenwelt.de\/en\/products\/the-effect-of-macroeconomic-variables-on-the-size-value-and-momentum-factor-in-germany","provider":"Autorenwelt Shop","version":"1.0","type":"link"}