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

• 作者: Benjamin Bae Mahdy F.Elhusseiny Nyakundi M.Michieka
• 来源期刊: 现代会计与审计:英文版
• 学科: 经济
• 关键词: ARBITRAGE PRICING theory MACROECONOMIC factors multifactor PRICING model
• 年，卷（期）: 2019,（2）
• 页码范围: 69-79
• 页数: 11页
• 分类号: F

摘要

This study investigates the effects of changes in local macroeconomic risk factors on returns on the banking,chemicals,insurance,telecommunication,and utilities industries in the U.S.market.Using a multifactor pricing model and data from 1998:01 to 2017:12,empirical results show that the banking,chemical,and telecommunication industries show more differences in their stock reactions to local macroeconomic risk factors.The insurance and telecommunication industries do not react significantly to risk factors.However,all the industries show strong reactions to local market portfolio.