The University of Southampton
University of Southampton Institutional Repository

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 & Accounting, 21, (3), pp. 309-330. (doi:10.1111/j.1468-5957.1994.tb00322.x).

Record type: Article

Abstract

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.

Full text not available from this repository.

More information

Published date: 1994

Identifiers

Local EPrints ID: 37384
URI: http://eprints.soton.ac.uk/id/eprint/37384
ISSN: 0306-686X
PURE UUID: e08b960e-c57c-476b-a5d0-a08685e84f37

Catalogue record

Date deposited: 23 Apr 2007
Last modified: 18 Aug 2017 16:32

Export record

Altmetrics

Contributors

Author: Andrew D. Clare
Author: Stephen H. Thomas

University divisions

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×