Macroeconomic factors, the APT and the UK stockmarket
Clare, Andrew D. and Thomas, Stephen H. (1994) Macroeconomic factors, the APT and the UK stockmarket. Journal of Business Finance and Accounting, 21, (3), 309-330. (doi:10.1111/j.1468-5957.1994.tb00322.x).
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This paper examines the macroeconomic sources of risk priced in the UK stockmarket between 1983 and 1990 using monthly data on 840 stocks to form both beta-sorted and market value sorted portfolios using the methodology proposed by Chen, Roll and Ross (1986) and Chan, Chen and Hsieh (1985) for the US. We find that several intuitively plausible macroeconomic variables were priced over this period using the beta sorted portfolios and that once these variables are included there is little role for the return on the market. However, when the market value sorted portfolios were used only inflation and a measure of equity market 'expense' relative to gilts was priced; furthermore with the market value sorted portfolios a role for the market return was found.
|Subjects:||H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
|Divisions:||University Structure - Pre August 2011 > School of Management
|Date Deposited:||23 Apr 2007|
|Last Modified:||14 Apr 2014 09:34|
The harmonisation of e. C. Securities market regulations
Funded by: ESRC (L113251016)
1 October 1991 to 31 October 1994
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