Macroeconomic Factors and Stock Returns
This paper explores the economic nature of return factors by incorporating a multifactor return generating process into the traditional CAPM. It attempts to remedy the arbitrage pricing theory, which is not capable of assigning proper economic meanings to return factors. There are at least three sig...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1987
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/822 |
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| Institution: | Singapore Management University |
| Language: | English |