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The Effects of Common Macroeconomics Factors on U.S. Stock Returns

Yıl 2023, Cilt: 8 Sayı: 3, 404 - 424, 30.09.2023
https://doi.org/10.30784/epfad.1298533

Öz

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.

Kaynakça

  • Altay, E. (2003). The effect of macroeconomic factors on asset returns: A comparative analysis of the German and the Turkish stock markets in an APT framework. Oneri, 6(23), 217-237. Retrieved from https://dergipark.org.tr/tr/pub/maruoneri
  • Bai, J. and Ng, S. (2002). Determining the number of factors in the approximate factor models. Econometrica, 70(1), 191-221. https://doi.org/10.1111/1468-0262.00273
  • Bodurtha Jr, J.N., Cho, D.C. and Senbet, L.W. (1989) Economic forces and the stock market: An international perspective. Global Finance Journal, 1(1), 21-46. https://doi.org/10.1016/1044-0283(89)90004-5
  • Cauchie, S., Hoesli, M. and Isakov, D. (2004). The determinants of stock returns in a small open economy. International Review of Economics & Finance, 13(2), 167-185. https://doi.org/10.1016/j.iref.2003.07.001
  • Chan, K.C., Chen, N.F. and Hsieh, D.A. (1985). An explanatory investigation of the firm size effect. Journal of Financial Economics, 14(3), 451-471. https://doi.org/10.1016/0304-405X(85)90008-X
  • Chen, N.F., Roll, R. and Ross, S. (1986). Economic forces and the stock market. Journal of Business, 59(3), 383-403. Retrieved from https://www.jstor.org/
  • Cheung, Y.W. and Ng, L.K. (1998). International evidence on the stock market and aggregate economic activity. Journal of Empirical Finance, 5(3), 281-296. https://doi.org/10.1016/S0927-5398(97)00025-X
  • Christopher, G., Lee, M., Young, H.A. and Zhang, J. (2006). Macroeconomic variables and stock returns interactions: New Zealand evidence. Investment Management and Financial Innovation, 3(4), 89-101. Retrieved from https://www.businessperspectives.org/
  • Coggin, T.D. and Hunter, J.E. (1985). Are high-beta, large capitalization stocks overpriced? Financial Analysts Journal, 41(6), 70-71. https://doi.org/10.2469/faj.v41.n6.70
  • Connor, G. and Korajczyk, R. (1986). Performance measurement with the arbitrage pricing theory: A new framework for analysis. Journal of Financial Economics, 15(1), 373-94. https://doi.org/10.1016/0304-405X(86)90027-9
  • Connor, G. and Korajczyk, R. (1988). Risk and return in an equilibrium APT: Application of a new test methodology. Journal of Financial Economics, 21(1), 255-89. https://doi.org/10.1016/0304-405X(88)90062-1
  • Dhrymes, P.J., Friend, I. and Gultekin, N.B. (1984). A critical reexamination of the empirical evidence on the APT. Journal of Finance, 39(2), 323-346. https://doi.org/10.2307/2327863
  • Fama, F.E. and MacBeth, J.D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636. Retrieved from https://www.jstor.org/
  • Fama, F.E. (1981). Stock returns, real activity, inflation and money. American Economic Review, 71(4), 545-565. Retrieved from https://www.jstor.org/
  • French, F.E. and Kenneth, R. (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 427-465. https://doi.org/10.2307/2329112
  • French, F.E. and Kenneth, R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. https://doi.org/10.1016/0304-405X(93)90023-5
  • Gehr, A. (1975). Some tests of the arbitrage pricing theory. Journal of the Midwest Finance Association, 7, 91-105. https://doi.org/10.1086/260325
  • Gibbons, M.R. (1982). Multivariate tests of financial models: A new approach. Journal of Financial Economics, 10(1), 3-27. https://doi.org/10.1016/0304-405X(82)90028-9
  • Gunsel, N. and Cukur, S. (2007). The effects of macroeconomic factors on the London stock returns: A sectoral approach. International Research Journal of Finance & Economics, 10(1), 140-152. https://doi.org/10.1108/10867370910946315
  • Hamao, Y. (1988). An empirical investigation of the arbitrage pricing theory. Japan and the World Economy, 35(5), 1073-1103. https://doi.org/10.2307/2327087
  • Lintner, J. (1965a). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 73(1), 13-37. https://doi.org/10.1016/B978-0-12-780850-5.50018-6
  • Lintner, J. (1965b). Security prices, risk and maximal gains from diversification. Journal of Finance, 20(1), 587-61. https://doi.org/10.2307/2977249
  • Ludvigson, S.C. and Ng, S. (2007). The empirical risk-return relation: A factor analysis approach. Journal of Financial Economics, 83(1),171-222. https://doi.org/10.1016/j.jfineco.2005.12.002
  • Ludvigson, S.C. and Ng, S. (2009a). Macro factors in bond risk premia. The Review of Financial Studies, 22(12), 5027-5067. https://doi.org/10.1093/rfs/hhp081
  • Ludvigson, S.C. and Ng, S. (2009b). A factor analysis of bond risk premia (NBER Working Paper No. 15188). Retrieved from https://www.nber.org/system/files/working_papers/w15188/w15188.pdf
  • Martinez, M., Nieto, B., Rubio, G. and Tapia, M. (2005). Arbitrage pricing and systematic liquidity risk: An empirical investigation of Spanish data. International Review of Economics and Finance, 14(1), 81-103. https://doi.org/10.1016/j.iref.2003.12.001
  • Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4), 768-83. https://doi.org/10.2307/1910098 Poon, S. and Taylor, S.J. (1991). Macroeconomic factors and the UK stock market. The Journal of Business Finance and Accounting, 18(5), 619-636. https://doi.org/10.1111/j.1468-5957.1991.tb00229.x
  • Reinganum, M. (1981). Misspecification of capital asset pricing: Empirical anomalies. Journal of Financial Economics, 9(1), 19-46. https://doi.org/10.1016/0304-405X(81)90019-2
  • Rjoub, H.T., Tursoy, T. and Gunsel, N. (2009). The effects of macroeconomics factors on stock returns: Istanbul stock exchange. Studies in Economics and Finance, 26(3), 36-45. https://doi.org/10.1108/10867370910946315
  • Roll, R. and Ross, S.A. (1980). An empirical investigation of the arbitrage pricing theory. The Journal of Finance, 35(5), 1073-1103. https://doi.org/10.2307/2327087
  • Ross, S. (1976). The arbitrage pricing theory of capital asset pricing. The Journal of Economic Theory, 13(3), 341-360. https://doi.org/10.1016/0022-0531(76)90046-6
  • Sharpe, W.F. (1964). Capital asset prices: A theory of market equilibrium under condition of risk. The Journal of Finance, 19(3), 425-442. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x
  • Stock, J.H. and Watson, M.W. (2002). Macroeconomic forecasting using diffusion indexes. Journal of Business and Economic Statistics, 20(2),147-62. https://doi.org/10.1198/073500102317351921
  • Treynor, J.L. (1961). Market value, time, and risk. Modern Economy, 7(2). http://dx.doi.org/10.2139/ssrn.2600356

Ortak Makroekonomi Faktörlerinin ABD Hisse Senedi Getirileri Üzerindeki Etkileri

Yıl 2023, Cilt: 8 Sayı: 3, 404 - 424, 30.09.2023
https://doi.org/10.30784/epfad.1298533

Öz

Bu çalışmada, makro değişkenlerin hisse senedi getirilerindeki değişimi açıklama gücü ABD ekonomisi açısından ele alınmıştır. Hisse senedi getirilerinin yatay kesiti üzerinde bir analiz yapmak için 1964-2007 yılları arasındaki 131 makroekonomik değişken kullanılmıştır. Aylık 131 serideki bilgileri toplayarak, 8 potansiyel faktörü çıkarmak için dinamik faktör analizi kullanılmıştır. Faktör modelinin pragmatik sunumunun ölçülebilmesi için Fama-Macbeth'in iki aşamalı test prosedürü uygulanmıştır. Piyasa riski faktörü, büyüklük faktörü, değer faktörü ve momentum faktörü gibi literatürde yer alan değişkenlere ek olarak, makro faktörlerin ABD hisse senedi getirilerindeki ortak varyasyonun açıklanmasında oldukça etkili olduğu tespit edilmiştir. Yukarıda belirtilen testler, büyüklük ve deftere göre oluşturulan Fama French 100 portföylerinin yanı sıra Fama French 49 endüstri portföyleri aracılığıyla gerçekleştirilmiştir. Ayrıca, faktör modeli oluşturulmuş ve belirli patlama ve durgunluk dönemleri için tasarlanmıştır. Gizli faktörler ile hisse senedi getirileri arasında kurulan ilişkilerin gerileme dönemlerinde önemsiz olduğu görülmektedir.

Kaynakça

  • Altay, E. (2003). The effect of macroeconomic factors on asset returns: A comparative analysis of the German and the Turkish stock markets in an APT framework. Oneri, 6(23), 217-237. Retrieved from https://dergipark.org.tr/tr/pub/maruoneri
  • Bai, J. and Ng, S. (2002). Determining the number of factors in the approximate factor models. Econometrica, 70(1), 191-221. https://doi.org/10.1111/1468-0262.00273
  • Bodurtha Jr, J.N., Cho, D.C. and Senbet, L.W. (1989) Economic forces and the stock market: An international perspective. Global Finance Journal, 1(1), 21-46. https://doi.org/10.1016/1044-0283(89)90004-5
  • Cauchie, S., Hoesli, M. and Isakov, D. (2004). The determinants of stock returns in a small open economy. International Review of Economics & Finance, 13(2), 167-185. https://doi.org/10.1016/j.iref.2003.07.001
  • Chan, K.C., Chen, N.F. and Hsieh, D.A. (1985). An explanatory investigation of the firm size effect. Journal of Financial Economics, 14(3), 451-471. https://doi.org/10.1016/0304-405X(85)90008-X
  • Chen, N.F., Roll, R. and Ross, S. (1986). Economic forces and the stock market. Journal of Business, 59(3), 383-403. Retrieved from https://www.jstor.org/
  • Cheung, Y.W. and Ng, L.K. (1998). International evidence on the stock market and aggregate economic activity. Journal of Empirical Finance, 5(3), 281-296. https://doi.org/10.1016/S0927-5398(97)00025-X
  • Christopher, G., Lee, M., Young, H.A. and Zhang, J. (2006). Macroeconomic variables and stock returns interactions: New Zealand evidence. Investment Management and Financial Innovation, 3(4), 89-101. Retrieved from https://www.businessperspectives.org/
  • Coggin, T.D. and Hunter, J.E. (1985). Are high-beta, large capitalization stocks overpriced? Financial Analysts Journal, 41(6), 70-71. https://doi.org/10.2469/faj.v41.n6.70
  • Connor, G. and Korajczyk, R. (1986). Performance measurement with the arbitrage pricing theory: A new framework for analysis. Journal of Financial Economics, 15(1), 373-94. https://doi.org/10.1016/0304-405X(86)90027-9
  • Connor, G. and Korajczyk, R. (1988). Risk and return in an equilibrium APT: Application of a new test methodology. Journal of Financial Economics, 21(1), 255-89. https://doi.org/10.1016/0304-405X(88)90062-1
  • Dhrymes, P.J., Friend, I. and Gultekin, N.B. (1984). A critical reexamination of the empirical evidence on the APT. Journal of Finance, 39(2), 323-346. https://doi.org/10.2307/2327863
  • Fama, F.E. and MacBeth, J.D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636. Retrieved from https://www.jstor.org/
  • Fama, F.E. (1981). Stock returns, real activity, inflation and money. American Economic Review, 71(4), 545-565. Retrieved from https://www.jstor.org/
  • French, F.E. and Kenneth, R. (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 427-465. https://doi.org/10.2307/2329112
  • French, F.E. and Kenneth, R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. https://doi.org/10.1016/0304-405X(93)90023-5
  • Gehr, A. (1975). Some tests of the arbitrage pricing theory. Journal of the Midwest Finance Association, 7, 91-105. https://doi.org/10.1086/260325
  • Gibbons, M.R. (1982). Multivariate tests of financial models: A new approach. Journal of Financial Economics, 10(1), 3-27. https://doi.org/10.1016/0304-405X(82)90028-9
  • Gunsel, N. and Cukur, S. (2007). The effects of macroeconomic factors on the London stock returns: A sectoral approach. International Research Journal of Finance & Economics, 10(1), 140-152. https://doi.org/10.1108/10867370910946315
  • Hamao, Y. (1988). An empirical investigation of the arbitrage pricing theory. Japan and the World Economy, 35(5), 1073-1103. https://doi.org/10.2307/2327087
  • Lintner, J. (1965a). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 73(1), 13-37. https://doi.org/10.1016/B978-0-12-780850-5.50018-6
  • Lintner, J. (1965b). Security prices, risk and maximal gains from diversification. Journal of Finance, 20(1), 587-61. https://doi.org/10.2307/2977249
  • Ludvigson, S.C. and Ng, S. (2007). The empirical risk-return relation: A factor analysis approach. Journal of Financial Economics, 83(1),171-222. https://doi.org/10.1016/j.jfineco.2005.12.002
  • Ludvigson, S.C. and Ng, S. (2009a). Macro factors in bond risk premia. The Review of Financial Studies, 22(12), 5027-5067. https://doi.org/10.1093/rfs/hhp081
  • Ludvigson, S.C. and Ng, S. (2009b). A factor analysis of bond risk premia (NBER Working Paper No. 15188). Retrieved from https://www.nber.org/system/files/working_papers/w15188/w15188.pdf
  • Martinez, M., Nieto, B., Rubio, G. and Tapia, M. (2005). Arbitrage pricing and systematic liquidity risk: An empirical investigation of Spanish data. International Review of Economics and Finance, 14(1), 81-103. https://doi.org/10.1016/j.iref.2003.12.001
  • Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4), 768-83. https://doi.org/10.2307/1910098 Poon, S. and Taylor, S.J. (1991). Macroeconomic factors and the UK stock market. The Journal of Business Finance and Accounting, 18(5), 619-636. https://doi.org/10.1111/j.1468-5957.1991.tb00229.x
  • Reinganum, M. (1981). Misspecification of capital asset pricing: Empirical anomalies. Journal of Financial Economics, 9(1), 19-46. https://doi.org/10.1016/0304-405X(81)90019-2
  • Rjoub, H.T., Tursoy, T. and Gunsel, N. (2009). The effects of macroeconomics factors on stock returns: Istanbul stock exchange. Studies in Economics and Finance, 26(3), 36-45. https://doi.org/10.1108/10867370910946315
  • Roll, R. and Ross, S.A. (1980). An empirical investigation of the arbitrage pricing theory. The Journal of Finance, 35(5), 1073-1103. https://doi.org/10.2307/2327087
  • Ross, S. (1976). The arbitrage pricing theory of capital asset pricing. The Journal of Economic Theory, 13(3), 341-360. https://doi.org/10.1016/0022-0531(76)90046-6
  • Sharpe, W.F. (1964). Capital asset prices: A theory of market equilibrium under condition of risk. The Journal of Finance, 19(3), 425-442. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x
  • Stock, J.H. and Watson, M.W. (2002). Macroeconomic forecasting using diffusion indexes. Journal of Business and Economic Statistics, 20(2),147-62. https://doi.org/10.1198/073500102317351921
  • Treynor, J.L. (1961). Market value, time, and risk. Modern Economy, 7(2). http://dx.doi.org/10.2139/ssrn.2600356
Toplam 34 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Finans
Bölüm Makaleler
Yazarlar

Serkan Şengül 0000-0001-9891-9477

Yayımlanma Tarihi 30 Eylül 2023
Kabul Tarihi 16 Eylül 2023
Yayımlandığı Sayı Yıl 2023 Cilt: 8 Sayı: 3

Kaynak Göster

APA Şengül, S. (2023). The Effects of Common Macroeconomics Factors on U.S. Stock Returns. Ekonomi Politika Ve Finans Araştırmaları Dergisi, 8(3), 404-424. https://doi.org/10.30784/epfad.1298533