Monetary Policy, Time Variation of Equity Returns, and Regime Switching

Monetary Policy, Time Variation of Equity Returns, and Regime Switching

The thesis studies time variation of the cross-sectional stock returns. The aim of the study is to identify and quantify economic factors behind the common variation of the cross-sectional returns both theoretically and empirically. Identifying and quantifying economic factors behind the common vari...

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Bibliographic Details
Main Author: Jäntti, Ville
Other Authors: Kauppakorkeakoulu, School of Business and Economics, Taloustieteet, Business and Economics, Jyväskylän yliopisto, University of Jyväskylä
Format: Master's thesis
Language:eng
Published: 2022
Subjects:
financial markets
nonlinear estimation
regime switching
time-varying returns
Taloustiede
Economics
2041
rahapolitiikka
arvopaperimarkkinat
monetary policy
security market
Online Access: https://jyx.jyu.fi/handle/123456789/81682

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