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Lagged Economic Exposure of Stock Returns: Role of Firm Nature of Business Effect

Faisal Khan

Volume 7, Issue 3 , March 2020, , Pages 123-133

Abstract
  This study examines the role of firm nature of business effect (financial vs. non-financial) in determining the lagged effect of economic factors on stock returns. Study applied generalized autoregressive conditional heteroskedasticity model GARCH (1, 1). The results of the study indicate that with the ...  Read More