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| Author: | Clare, A. Thomas, S. |
| Title: | Macroeconomic factors, the APT and the UK stockmarket |
| Journal: | Journal of Business Finance and Accounting
1994 : APR, VOL. 21:3, p. 309-330 |
| Index terms: | UNITED KINGDOM STOCK MARKETS RISK |
| Language: | eng |
| Abstract: | This paper examines the macroeconomic sources of risk priced in the UK stockmarket between 1983 and 1990 using monthly data on 840 stocks to form both beta-sorted and market value sorted portfolios using the methodology proposed by Chen, Roll and Ross (1986) and Chan, Chen and Hsieh (1985) for the US. The authors find that several intuitively plausible macroeconomic variables were priced over this period using the beta sorted portfolios and that once these variables are included there is little role for the return on the market. |
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