Macroeconomic Factors and Stock Return

The Arbitrage Pricing Theory (APT), Does it Works? The empirical applicability of the APT in pricing the Istanbul Stock Exchange (ISE) been analysed, to identify the set of macroeconomic variables which correspond most closely with the stock market factors. Six macroeconomic variables were developed to price the stock of (ISE) Turkey which are the term structure of interest rate, unanticipated inflation, risk premium, exchange rate, money supply (M1), and unemployment rate. Monthly data for total 193 stocks from all sectors of (ISE) were classified to 13 portfolios. The period analysed spans from January 2001 to September 2005 and the effects of the chosen macroeconomic variable were investigated.

Autorentext

Husam Rjoub is a Ph.D Candidate in Banking and Finance at Near East University, TRNC. At present, he is lecturer in Department of Banking and Finance at NEU. His main research interests are Asset pricing (CAPM, APT, F&F) and international Finance (FDI).He received NEU research award in 2011 .His publications appear in international refereed journal