Macroeconomic Factors and Stock Returns

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: WU, Chunchi, Colwell, Peter
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 1987
Subjects:
Business
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/822
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Institution: Singapore Management University
Language: English
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spelling sg-smu-ink.lkcsb_research-18212010-09-23T06:24:04Z Macroeconomic Factors and Stock Returns WU, Chunchi Colwell, Peter 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 significant factors associated with general production, investment, financial, and employment variables. These economic factors explain the risk-return relationship as well as those obtained by the arbitrage pricing theory. 1987-01-01T08:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/822 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Business
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Business
spellingShingle Business
WU, Chunchi
Colwell, Peter
Macroeconomic Factors and Stock Returns
description 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 significant factors associated with general production, investment, financial, and employment variables. These economic factors explain the risk-return relationship as well as those obtained by the arbitrage pricing theory.
format text
author WU, Chunchi
Colwell, Peter
author_facet WU, Chunchi
Colwell, Peter
author_sort WU, Chunchi
title Macroeconomic Factors and Stock Returns
title_short Macroeconomic Factors and Stock Returns
title_full Macroeconomic Factors and Stock Returns
title_fullStr Macroeconomic Factors and Stock Returns
title_full_unstemmed Macroeconomic Factors and Stock Returns
title_sort macroeconomic factors and stock returns
publisher Institutional Knowledge at Singapore Management University
publishDate 1987
url https://ink.library.smu.edu.sg/lkcsb_research/822
_version_ 1770569709993852928

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