{"id":"https://openalex.org/W2017578571","doi":"https://doi.org/10.2307/2331412","title":"Macroeconomic Forces, Systematic Risk, and Financial Variables: An Empirical Investigation","display_name":"Macroeconomic Forces, Systematic Risk, and Financial Variables: An Empirical Investigation","publication_year":1991,"publication_date":"1991-12-01","ids":{"openalex":"https://openalex.org/W2017578571","doi":"https://doi.org/10.2307/2331412","mag":"2017578571"},"language":"en","primary_location":{"id":"doi:10.2307/2331412","doi":"https://doi.org/10.2307/2331412","is_oa":false,"landing_page_url":"https://doi.org/10.2307/2331412","pdf_url":null,"source":{"id":"https://openalex.org/S193228710","display_name":"Journal of Financial and Quantitative Analysis","issn_l":"0022-1090","issn":["0022-1090","1756-6916"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1","ft50","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Financial and Quantitative Analysis","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"S. David Young","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"S. David Young","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5112663464","display_name":"Michael A. Berry","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Michael A. Berry","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5113512252","display_name":"David W. Harvey","orcid":"https://orcid.org/0009-0005-5971-8724","observed_orcids":["https://orcid.org/0009-0005-5971-8724"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"David W. Harvey","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5110054421","display_name":"John Page","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"John R. Page","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":3550,"currency":"USD","value_usd":3550},"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":18,"citation_normalized_percentile":{"value":0.28466236,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"26","issue":"4","first_page":"559","last_page":"559"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9345999956130981,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9345999956130981,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":0.035599999129772186,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.010099999606609344,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/systematic-risk","display_name":"systematic risk","score":0.8399999737739563},{"id":"https://openalex.org/keywords/multifactor-models","display_name":"multi-factor models","score":0.6830000281333923},{"id":"https://openalex.org/keywords/beta-forecasting","display_name":"beta forecasting","score":0.8069999814033508},{"id":"https://openalex.org/keywords/random-walk-forecast","display_name":"random walk forecast","score":0.8389999866485596}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.47884321212768555},{"id":"https://openalex.org/C76073288","wikidata":"https://www.wikidata.org/wiki/Q1337875","display_name":"Financial risk","level":2,"score":0.4662114083766937},{"id":"https://openalex.org/C80212096","wikidata":"https://www.wikidata.org/wiki/Q1975416","display_name":"Systematic risk","level":2,"score":0.45968812704086304},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.40666982531547546},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.3935909867286682},{"id":"https://openalex.org/C73283319","wikidata":"https://www.wikidata.org/wiki/Q1416617","display_name":"Financial system","level":1,"score":0.34030938148498535},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.32011646032333374}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.2307/2331412","doi":"https://doi.org/10.2307/2331412","is_oa":false,"landing_page_url":"https://doi.org/10.2307/2331412","pdf_url":null,"source":{"id":"https://openalex.org/S193228710","display_name":"Journal of Financial and Quantitative Analysis","issn_l":"0022-1090","issn":["0022-1090","1756-6916"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1","ft50","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Financial and Quantitative Analysis","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:cup:jfinqa:v:26:y:1991:i:04:p:559-564_00","doi":null,"is_oa":false,"landing_page_url":"https://www.cambridge.org/core/product/identifier/S0022109000007833/type/journal_article","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":5,"referenced_works":["https://openalex.org/W2015800048","https://openalex.org/W2026613829","https://openalex.org/W2054376788","https://openalex.org/W2072980348","https://openalex.org/W2128337763"],"related_works":["https://openalex.org/W3043439704","https://openalex.org/W2014333695","https://openalex.org/W2168230930","https://openalex.org/W55988646","https://openalex.org/W2953761157","https://openalex.org/W1999888451","https://openalex.org/W4400997860","https://openalex.org/W7131436811","https://openalex.org/W4383535267","https://openalex.org/W2790616378"],"abstract_inverted_index":{"This":[0],"paper":[1],"assesses":[2],"the":[3,45],"ability":[4],"of":[5,24],"financial":[6,28,46],"statement":[7],"variables":[8,29,47],"to":[9,12,32],"forecast":[10],"sensitivities":[11],"systematic":[13],"risk":[14],"factors":[15],"generated":[16],"by":[17],"a":[18],"multifactor,":[19],"macroeconomic":[20],"forces":[21],"model.":[22,48],"Forecasts":[23],"beta":[25],"derived":[26],"from":[27],"are":[30],"shown":[31],"outperform":[33],"naive,":[34],"random":[35],"walk":[36],"forecasts,":[37],"although":[38],"Bayesian-adjusted":[39],"betas":[40],"perform":[41],"as":[42,44],"well":[43]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":2},{"year":2012,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}