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 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.
Journal of Financial Research
WU, Chunchi and Colwell, Peter.
Macroeconomic Factors and Stock Returns. (1987). Journal of Financial Research. 10, (2), 87. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/822