Macroeconomic Forces and Arbitrage Pricing Theory
Bibliographic Data
| ID | 12765296 |
|---|---|
| Authors | Jordan French (0000-0003-0079-8633, Stamford International University, corresponding author) |
| Year | 2017 |
| Volume | 16 |
| Issue | 1 |
| Pages | 1-20 |
| Publication date | 2017-01-02 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Journal of Comparative Asian Development (JOURNAL) |
| Journal identifiers | ISSN: 1533-9114 • E-ISSN: 2150-5403 |
| Publisher | Routledge (PUBLISHER • GB) |
| DOI | 10.1080/15339114.2017.1297245 |
| OpenAlex | W2593238705 |
| Language | EN |
| References cited | 40 |
This paper tests five macroeconomic variables that have been both theorized to affect stock returns and been proven to do so in past empirical research. Those variables are risk premium, industrial production, term structure, expected inflation, and unexpected inflation. The variables are retested for their statistical significance using four years of monthly contemporary data for six different countries (developed and developing). The United States is used as a benchmark, in addition to the ASEAN-5 (Singapore, Thailand, Philippines, Malaysia, and Indonesia). This study finds that risk premium and industrial production were significant over the sample, but term structure, expected inflation, and unexpected inflation were not significant in explaining domestic market returns. Furthermore, principal component regressions outperformed cross-sectional ones, with factor analysis as the least statistically significant model. For the six countries tested, the arbitrage pricing theory was also found to be a less robust pricing tool than the capital asset pricing model
Arbitrage · Arbitrage pricing theory · Capital asset pricing model · Econometrics · Economics · Financial economics · Industrial production · Inflation (cosmology · Macroeconomics · Risk premium · Stock (firearms · Corporate Finance and Governance · Financial Markets and Investment Strategies · Housing Market and Economics
An introduction to multivariate statistical analysis
Economic Forces and the Stock Market
The arbitrage theory of capital asset pricing
Common risk factors in the returns on stocks and bonds
Theory of Rational Option Pricing
The Application of Electronic Computers to Factor Analysis
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
Risk, Return, and Equilibrium
The Scree Test For The Number Of Factors
| Citation velocity | historical |
|---|---|
| Highly cited | No |