Changes in the risk structure of stock returns: consumer confidence and the dotcom bubble

Changes in the risk structure of stock returns may sometimes be very revealing. We examine economic variables that help explain principal components in UK stock returns, 01/1985 to 12/2001. The loading pattern on explanatory variables for the first component in a ‘bubble’ period is distinctive and c...

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Bibliographic Details
Main Authors: Lawrence Leger, Vitor Leone
Format: Default Preprint
Published: 2007
Subjects:
Other economics not elsewhere classified
Macroeconomic variables
Consumer variables
Stock returns
Principal components analysis
Economics not elsewhere classified
Online Access:https://hdl.handle.net/2134/2896
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