An Empirical Examination of the Arbitrage Pricing Theory:Evidences from the U.S.Stock Market-中国期刊网

摘要 Thisstudyinvestigatestheeffectsofchangesinlocalmacroeconomicriskfactorsonreturnsonthebanking,chemicals,insurance,telecommunication,andutilitiesindustriesintheU.S.market.Usingamultifactorpricingmodelanddatafrom1998:01to2017:12,empiricalresultsshowthatthebanking,chemical,andtelecommunicationindustriesshowmoredifferencesintheirstockreactionstolocalmacroeconomicriskfactors.Theinsuranceandtelecommunicationindustriesdonotreactsignificantlytoriskfactors.However,alltheindustriesshowstrongreactionstolocalmarketportfolio.

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An Empirical Examination of the Arbitrage Pricing Theory:Evidences from the U.S.Stock Market

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An Empirical Examination of the Arbitrage Pricing Theory:Evidences from the U.S.Stock Market

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