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| Author: | Kim, M. K. Wu, C. |
| Title: | Macro-economic factors and stock returns. |
| Journal: | Journal of Financial Research
1987 : SUMMER, VOL. 10:2, p. 87-98 |
| Index terms: | ARBITRAGE PRICING THEORY SHARES RETURN ON INVESTMENT MACROECONOMICS |
| Language: | eng |
| Abstract: | A review that attempts to remedy the arbitrage pricing theory by exploring the economic nature of return factors by incorporating a multifactor return generating process into a capital asset pricing model. The study covers general production, investment, financial and employment variables related to the risk-return relationship. Methodology, empirical results and the forecasting of errors using three models are surveyed. |
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