Fattori di rischio macroeconomici e rendimenti delle strategie di portafoglio: ipotesi teoriche ed evidenza empirica

From Fama-French (1993) and Carhart (1997) studies, which identify size, value, and momentum factors in addition to market risk as significant drivers of stock returns, the micro-finance research addressed the measurement of macroeconomic factors’ impacts on returns of portfolio strategies based on these multi-factor models. These analyses could be crucial in explaining the low or negative correlation often found in literature between the returns of such strategies (Cooper-Priestley 2009; Avramov et al. 2012; Asness et al. 2013; Wisniewski-Jackson 2020; Dahlquist-Hasseltoft 2020). The contribution of this paper is twofold: i) to explain the theoretical foundation of expected impacts of the main macroeconomic factors on the returns of value and momentum strategies regarding equity and bond asset classes; ii) to verify whether these relationships are supported (in terms of sign and statistical significance) by the most recent empirical literature. The analysis shows that: i) univocal hypotheses on the expected links cannot be formulated; the causes of persistent returns of the two strategies, in fact, can be explained by adopting different theoretical perspectives, behavioural vs risk-premium models, which assume different linkages with macroeconomic factors; ii) the empirical findings are mixed; they could be also explained by differences, among studies, in country samples (Continental Europe, Emerging Markets, UK, Developed Asia, and USA), time periods, and testing methodology used. Nonetheless, the provided literature review is useful in delineating a comprehensive framework of the expected and empirically observed links.