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Macro-Economic Factors And Stock Returns

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  • Moon K. Kim
  • Chunchi Wu

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  • Moon K. Kim & Chunchi Wu, 1987. "Macro-Economic Factors And Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(2), pages 87-98, June.
    • Handle: RePEc:bla:jfnres:v:10:y:1987:i:2:p:87-98
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1987.tb00481.x
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    References listed on IDEAS

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    1. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    2. Jobson, John D, 1982. "A Multivariate Linear Regression Test for the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 37(4), pages 1037-1042, September.
    3. Reinganum, Marc R, 1981. "The Arbitrage Pricing Theory: Some Empirical Results," Journal of Finance, American Finance Association, vol. 36(2), pages 313-321, May.
    4. Brown, Stephen J & Weinstein, Mark I, 1983. "A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm," Journal of Finance, American Finance Association, vol. 38(3), pages 711-743, June.
    5. Stambaugh, Robert F., 1982. "On the exclusion of assets from tests of the two-parameter model : A sensitivity analysis," Journal of Financial Economics, Elsevier, vol. 10(3), pages 237-268, November.
    6. Basu, Sanjoy, 1983. "The relationship between earnings' yield, market value and return for NYSE common stocks : Further evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 129-156, June.
    7. Gur Huberman, 2005. "A Simple Approach to Arbitrage Pricing Theory," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 9, pages 289-308, World Scientific Publishing Co. Pte. Ltd..
    8. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    9. Friend, Irwin & Westerfield, Randolph, 1981. "Risk and capital asset prices," Journal of Banking & Finance, Elsevier, vol. 5(3), pages 291-315, September.
    10. Dhrymes, Phoebus J & Friend, Irwin & Gultekin, N Bulent, 1984. "A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 39(2), pages 323-346, June.
    11. Kalman J. Cohen & Jerry A. Pogue, 1967. "An Empirical Evaluation of Alternative Portfolio-Selection Models," The Journal of Business, University of Chicago Press, vol. 40, pages 166-166.
    12. Roll, Richard, 1977. "A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory," Journal of Financial Economics, Elsevier, vol. 4(2), pages 129-176, March.
    13. Chen, Nai-fu, 1983. "Some Empirical Tests of the Theory of Arbitrage Pricing," Journal of Finance, American Finance Association, vol. 38(5), pages 1393-1414, December.
    14. Roll, Richard & Ross, Stephen A, 1980. "An Empirical Investigation of the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 35(5), pages 1073-1103, December.
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    Cited by:

    1. Mookerjee, Rajen & Yu, Qiao, 1997. "Macroeconomic variables and stock prices in a small open economy: The case of Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 377-388, July.
    2. Kumar, V. & Ramaswami, Sridhar N. & Srivastava, Rajendra K., 2000. "A Model to Explain Shareholder Returns: Marketing Implications," Journal of Business Research, Elsevier, vol. 50(2), pages 157-167, November.
    3. Padrón, Yaiza García & Boza, Juan García, 2006. "Which are the Risk Factors in the Pricing of Personal Pension in Spain?," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 60(2), November.
    4. Suat Teker & Oscar Varela, 1998. "A comparative analysis of security pricing using factor, macrovariable and arbitrage pricing models," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(2), pages 21-41, June.

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