Title

Macroeconomic Factors and Stock Returns

Publication Type

Journal Article

Publication Date

1987

Abstract

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.

Discipline

Business

Research Areas

Finance

Publication

Journal of Financial Research

Volume

10

Issue

2

First Page

87

ISSN

0270-2592

Publisher

Wiley

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