دورية أكاديمية
The Effects of Common Macroeconomics Factors on U.S. Stock Returns
| العنوان: | The Effects of Common Macroeconomics Factors on U.S. Stock Returns |
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| المؤلفون: | Serkan Şengül |
| المصدر: | Ekonomi, Politika & Finans Araştırmaları Dergisi, Vol 8, Iss 3, Pp 404-424 (2023) |
| بيانات النشر: | Ekonomi ve Finansal Araştırmalar Derneği, 2023. |
| سنة النشر: | 2023 |
| المجموعة: | LCC:Finance |
| مصطلحات موضوعية: | stock return, fama french, capm, macroeconomic factors, principal component analysis, hisse senedi getirisi, kvfm, makroekonomik faktörler, temel bileşen analizi, Finance, HG1-9999 |
| الوصف: | In this study, the explanatory power of the macro variables in relation to the variation of stock returns has been discussed in terms of the economy of the USA. To make an analysis of the cross-section of the stock returns, 131 Macroeconomic variables between 1964 and 2007 have been put into use. Summing up the information in 131 monthly series, dynamic factor analysis is used to take out 8 potential factors. So that the pragmatic presentation of the factor model can be measured, Fama-Macbeth’s test procedure of two phases is applied. In addition to the variables included in the literature such as market risk factor, size factor, value factor, and momentum factors, it is found that the macro factors are highly influential on the explanation of the common variation in U.S stock returns. The tests stated above have been performed by means of Fama French 49 industry portfolios, apart from Fama French 100 portfolios that have been formed on size and book. Furthermore, the factor model is established and intended for certain periods of boom and recession. The relations established between latent factors and stock returns appear to be unimportant during the downturn periods. |
| نوع الوثيقة: | article |
| وصف الملف: | electronic resource |
| اللغة: | English Turkish |
| تدمد: | 2587-151X |
| Relation: | https://dergipark.org.tr/tr/download/article-file/3148858; https://doaj.org/toc/2587-151X |
| DOI: | 10.30784/epfad.1298533 |
| URL الوصول: | https://doaj.org/article/5add4aac85e84d5c824f9e3dc5e758cb |
| رقم الأكسشن: | edsdoj.5add4aac85e84d5c824f9e3dc5e758cb |
| قاعدة البيانات: | Directory of Open Access Journals |
Full Text Finder | تدمد: | 2587151X |
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| DOI: | 10.30784/epfad.1298533 |