Abstract
This study contributes to the investigation of the macro- finance interface by assessing the economic content and risk based interpretation of widely employed risk factors in the specifi cation of empirical asset pricing models, i.e., Fama-French size and value, and Carhart momentum factors, as well as the more recent Pastor-Stambaugh liquidity and Adrian-Etula-Muir leverage factors. Strong support for their risk based interpretation, encompassing evidence on causes, persistence and direction of the size, value and momentum effects, and new insights on the specifi cation of systematic risk, are provided.
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