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The effects of macroeconomic factors on stock returns: Istanbul Stock Market
14 references·9 citing·38 second hop
The effects of macroeconomic factors on stock returns: Istanbul Stock Market (2009)The effects of macroeconomic factors on s…The Capital Asset Pricing Model (2004)The Capital Asset Pricing Mod…Business conditions, monetary policy, and expected security returns (1996)Business conditions, monetary…The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning (1995)The Arbitrage Pricing Theory …On the Cross-Sectional Relation between Expected Returns and Betas (1994)On the Cross-Sectional Relati…MACROECONOMIC FACTORS AND THE UK STOCK MARKET (1991)MACROECONOMIC FACTORS AND THE…An empirical examination of the Arbitrage Pricing Theory (1988)An empirical examination of t…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning (1984)The Arbitrage Pricing Theory …A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory (1984)A Critical Reexamination of t…Some Empirical Tests of the Theory of Arbitrage Pricing (1983)Some Empirical Tests of the T…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Exchange rate movement and stock market performance: An application of the ARDL model (2022)Exchange rate movement and st…Impact of macroeconomic variables on the performance of stock exchange: a systematic review (2021)Impact of macroeconomic varia…Do Oil Price Shocks and Other Factors Create Bigger Impacts on Islamic Banks than Conventional Banks? (2020)Do Oil Price Shocks and Other…COVID-19: hotel industry response to the pandemic evolution and to the public sector economic measures (2020)COVID-19: hotel industry resp…Asymmetrical relationship between oil prices, gold prices, exchange rate, and stock prices during global financial crisis 2008: Evidence from Pakistan (2020)Asymmetrical relationship bet…Macroeconomic factors explaining stock volatility: multi-country empirical evidence from the auto industry (2019)Macroeconomic factors explain…Macroeconomic Determinants of Stock Market Fluctuations: The Case of BIST-100 (2019)Macroeconomic Determinants of…Impact of macroeconomic factors and political events on the market index returns at Palestine and Amman Stock Markets (2011–2017) (2019)Impact of macroeconomic facto…Micro and macroeconomic determinants of stock prices: The case of Turkish banking sector (2017)Micro and macroeconomic deter…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Risk and Return in an Equilibrium APT (1987)The empirical foundations of the arbitrage pricing theory (1988)The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias (1992)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)Industry costs of equity (1997)Dividend yields and expected stock returns (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Efficient use of commodity futures in diversified portfolios (2000)Reexamining Stock Valuation and Inflation: The Implications Of Analysts' Earnings Forecasts (2002)The impact of macroeconomic and non-macroeconomic forces on hotel stock returns (2004)Modern Portfolio Theory and Investment Analysis. (1982)International Arbitrage Pricing Theory: An Empirical Investigation (1986)Price Regulation in Property‐Liability Insurance: A Contingent‐Claims Approach (1986)Multivariate proxies and asset pricing relations (1987)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)The Cross-Section of Expected Stock Returns (1992)Using Expectations to Test Asset Pricing Models (2005)Worrying trends in econophysics (2006)Asset pricing: A tale of two days (2014)Theory of games and economic behavior (2019)The relationship between return and market value of common stocks (1981)Multifactor Explanations of Asset Pricing Anomalies (1996)The Conditional CAPM Does Not Explain Asset-Pricing Anomalies (2003)Fundamental Indexation (2005)Which Alpha? (2016)
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References

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  • 2020COVID-19: hotel industry response to the pandemic evolution and to the public sector economic measures

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112 cited
  • 2020Asymmetrical relationship between oil prices, gold prices, exchange rate, and stock prices during global financial crisis 2008: Evidence from Pakistan111 cited
  • 2019Macroeconomic Determinants of Stock Market Fluctuations: The Case of BIST-10080 cited
  • 2021Impact of macroeconomic variables on the performance of stock exchange: a systematic review73 cited
  • 2017Micro and macroeconomic determinants of stock prices: The case of Turkish banking sector61 cited
  • 2020Do Oil Price Shocks and Other Factors Create Bigger Impacts on Islamic Banks than Conventional Banks?54 cited
  • 2019Impact of macroeconomic factors and political events on the market index returns at Palestine and Amman Stock Markets (2011–2017)37 cited
  • 2022Exchange rate movement and stock market performance: An application of the ARDL model35 cited
  • 2019Macroeconomic factors explaining stock volatility: multi-country empirical evidence from the auto industry34 cited