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Macroeconomic Factors and Stock Returns: Evidence from Istanbul Stock Exchange (Günsel, Nil.)

Bibliographical information (record 265060)

Macroeconomic Factors and Stock Returns: Evidence from Istanbul Stock Exchange
Author:	Günsel, Nil. Search Author in Amazon Books
Publisher:	Lambert Academic Publishing,
ISBN:	978-3-659-12293-4
Edition:	2012.
Classification:	HG173
URL:	http://library.neu.edu.tr:2048/login?url=http://dx.doi.org/10.13140/2.1.4252.2561

Detailed notes

- https://www.researchgate.net/publication/235698715_Macroeconomic_Factors_and_Stock_Return_Evidence_From_Istanbul_Stock_Exchange%27ISE

- The CAPM (Capital Asset Pricing Model) and the APT (Arbitrage Pricing Theory) are two equilibrium assets pricing model which help us to determine the price for risky assets in equilibrium. The CAPM predict about how to measure risk and relation between the expected return and risk. On the other hand, APT provides an alternative way to determine the expected return on risky securities through the developed model of Ross (1976). The combined work of Chen, Roll and Ross (1986) which explain the effects of macro variables on the stock returns (stock returns may be generated according to the macroeconomic variables). This study developed and investigated the effects of macroeconomic variables on pricing stock return on Istanbul Stock Exchange (ISE). Also, this study developed six prespecified macroeconomic variables which are: the term structure of interest rate, unanticipated inflation, risk premium, exchange rate, and money supply. They are the same as those used by Chen, Roll and Ross (1986) for the US market. In this study the researcher added one more variable through the analysis test for the portfolios it shows that there were differences among each portfolio. In this study the explanatory power of the independent variables represented by R2 which is too low in the result which found. over the portfolio return in our case study (ISE) Turkey.