The Effects of Common Macroeconomics Factors on U.S. Stock Returns
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. Su...
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Format: | Article |
Language: | English |
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Ekonomi ve Finansal Araştırmalar Derneği
2023-09-01
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Series: | Ekonomi, Politika & Finans Araştırmaları Dergisi |
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Online Access: | https://dergipark.org.tr/tr/download/article-file/3148858 |
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author | Serkan Şengül |
author_facet | Serkan Şengül |
author_sort | Serkan Şengül |
collection | DOAJ |
description | 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. |
first_indexed | 2024-03-07T19:05:12Z |
format | Article |
id | doaj.art-5add4aac85e84d5c824f9e3dc5e758cb |
institution | Directory Open Access Journal |
issn | 2587-151X |
language | English |
last_indexed | 2024-03-07T19:05:12Z |
publishDate | 2023-09-01 |
publisher | Ekonomi ve Finansal Araştırmalar Derneği |
record_format | Article |
series | Ekonomi, Politika & Finans Araştırmaları Dergisi |
spelling | doaj.art-5add4aac85e84d5c824f9e3dc5e758cb2024-03-01T08:34:45ZengEkonomi ve Finansal Araştırmalar DerneğiEkonomi, Politika & Finans Araştırmaları Dergisi2587-151X2023-09-018340442410.30784/epfad.1298533957The Effects of Common Macroeconomics Factors on U.S. Stock ReturnsSerkan ŞengülIn 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.https://dergipark.org.tr/tr/download/article-file/3148858stock returnfama frenchcapmmacroeconomic factorsprincipal component analysishisse senedi getirisifama frenchkvfmmakroekonomik faktörlertemel bileşen analizi |
spellingShingle | Serkan Şengül The Effects of Common Macroeconomics Factors on U.S. Stock Returns Ekonomi, Politika & Finans Araştırmaları Dergisi stock return fama french capm macroeconomic factors principal component analysis hisse senedi getirisi fama french kvfm makroekonomik faktörler temel bileşen analizi |
title | The Effects of Common Macroeconomics Factors on U.S. Stock Returns |
title_full | The Effects of Common Macroeconomics Factors on U.S. Stock Returns |
title_fullStr | The Effects of Common Macroeconomics Factors on U.S. Stock Returns |
title_full_unstemmed | The Effects of Common Macroeconomics Factors on U.S. Stock Returns |
title_short | The Effects of Common Macroeconomics Factors on U.S. Stock Returns |
title_sort | effects of common macroeconomics factors on u s stock returns |
topic | stock return fama french capm macroeconomic factors principal component analysis hisse senedi getirisi fama french kvfm makroekonomik faktörler temel bileşen analizi |
url | https://dergipark.org.tr/tr/download/article-file/3148858 |
work_keys_str_mv | AT serkansengul theeffectsofcommonmacroeconomicsfactorsonusstockreturns AT serkansengul effectsofcommonmacroeconomicsfactorsonusstockreturns |