MACROECONOMIC FACTORS, THE APT AND THE UK STOCKMARKET
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 U...
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| Veröffentlicht in: | Journal of business finance & accounting 1994-04, Vol.21 (3), p.309-330 |
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| container_title | Journal of business finance & accounting |
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| creator | Clare, Andrew D. Thomas, Stephen H. |
| description | 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. |
| doi_str_mv | 10.1111/j.1468-5957.1994.tb00322.x |
| format | Article |
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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. 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| ispartof | Journal of business finance & accounting, 1994-04, Vol.21 (3), p.309-330 |
| issn | 0306-686X 1468-5957 |
| language | eng |
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| source | Wiley Journals; Business Source Complete; Periodicals Index Online |
| subjects | Economic impact Macroeconomics Portfolio analysis Rates of return Securities analysis Securities markets Stock exchange Stock exchanges Stock prices Studies United Kingdom |
| title | MACROECONOMIC FACTORS, THE APT AND THE UK STOCKMARKET |
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