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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/2896

Title: Changes in the risk structure of stock returns: consumer confidence and the dotcom bubble
Authors: Leger, Lawrence A.
Leone, Vitor
Keywords: Macroeconomic variables
Consumer variables
Stock returns
Principal components analysis
Issue Date: 2007
Abstract: 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 consistent with a bubble/crash market. The second component shows a loading pattern on a Consumer Confidence variable in a pre-bubble period only. We observe apparently systematic changes in the structure of risk, and conjecture that Consumer Confidence captures a change in market sentiment that could be a signal for the evolution of stock prices.
Description: This is a working paper. It is also available at: http://ideas.repec.org/p/lbo/lbowps/2007_15.html.
URI: https://dspace.lboro.ac.uk/2134/2896
ISSN: 1750-4171
Appears in Collections:Working Papers (Economics)

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