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A Review of Country-level and Firm-level Factors in Arbitrage Pricing Theory and A Quick Test with Large Dataset

Year 2018, Volume: 2018 Issue: 2, 102 - 117, 26.10.2018

Abstract



This study primarily reviews the studies that use
Arbitrage Pricing Theory by separating the risk factors into two main groups as
country-level factors and firm-level factors.  Following this, this study examines the stock
return determinants of emerging countries in two separate models; macro model
and micro model to provide an
empirical evidence on both country effects and
firm-specific effects separately.
The macro model is constructed to examine the
relative importance of country effect in explaining cross-sectional stock
variations. For that purpose the significance of 4 key macroeconomic variables
–fundamental country characteristics-; money supply, exchange rate, inflation
rate, and total reserve are tested. For micro model, 5 key firm specific
variables, beta, book-to-market equity, earnings-to-price ratio, size and
leverage are examined. 



References

  • Abdalla, I. & Murinde, V. (1997). Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines, Applied Financial Economics, 7, 25-35.
  • Aggarwal, R., Ramesh, P. & Takto, H. (1990). Regularities in Tokyo Stock Exchange security returns: P/E, size and seasonal influences. Journal of Financial Research, 13, 249-263.
  • Ajayi, R. A. & Mougoue, M. (1996). On the dynamic relation between stock prices and exchange rates. Journal of Financial Research, 19, 193–207.
  • Ando, A. & Modigliani, F. (1963). The ‘life-cycle’ hypothesis of saving: aggregate implications and tests. American Economic Review, 53(1), 55–84.
  • Bahmani, M. & Sohrabian, A. (1992). Stock prices and the effective exchange rate of the dollar. Applied Economics, 24, 459–464.
  • Bailey, W. & Chung P. (1996). Risk and return in the Philippine Equity Market: A Multifactor rxploration. Journal of Pacific-Basin, 4, 197-218.
  • Banz, M. & Rolf, W. (1981). The relationship between return and market value of stocks. Journal of Financial Economics, 9(4), 3-18.
  • Barber, B. M. & Lyon, D. J. (1997). Firm size, book-to-market ratio, and security returns: A holdout sample of financial firms. Journal of Finance, 52, 875-884.
  • Basu, S. (1977). Investment performance of common stocks in relation to the price earnings ratios: A test of the Efficient Market Hypothesis. The Journal of Finance, 32(3), 663-682.
  • Basu, S. (1983). The relationship between earnings yield, market value, and return for NYSE common stocks: Further evidence. Journal of Financial Economics, 12(6), 129-156.
  • Beenstock, M. & Chan, K. (1988). Economic forces in the London Stock Market. Oxford Bulletin of Economics and Statistics, 50, 27-39.
  • Bernanke, B.S. & Kuttner, K. (2005). What explains the stock market’s reaction to federal reserve policy? Journal of Finance, 60(3), 1221-1257.
  • Bessler, W. & Opfer, H. (2003). Empirische untersuchungen zur bedeutung makro¨okonomischer faktoren f¨ur aktienrenditen am deutschen kapitalmarkt. Financial Markets and Portfolio Management, 17, 412–436.
  • Bhandari, L. (1988). Debt/Equity Ratio and expected common stock returns: Empirical evidence. Journal of Finance, 41(14), 779-793.
  • Black, F. (1972). Capital market equilibrium with restricted borrowing. Journal of Business, 45(3), 444-455.
  • Black, F., Jensen, M. C. & Scholes, M. S. (1972). The capital asset pricing model: Some empirical tests. Studies in the Theory of Capital Markets, ed. Jensen M. C., Praeger, New York, 79-121.
  • Black, F. & Scholes, M. (1974). The effects of dividend yield and dividend policy on common stock prices and returns. Journal of Financial Economics, 1, 1-22.
  • Blume, M. E. (1980) Stock returns and dividend yields: some more evidence. Review of Economics and Statistics, 62, 567-577
  • Bodie, Z. (1976). Common stocks as a hedge against inflation. Journal of Finance, 31, 459–470.
  • Burmeister, E. & Wall, K. (1986). The Arbitrage Pricing Theory and macroeconomic factor measures. The Financial Review, 21(1), 1–20.
  • Burmeister, E. & McElroy, M. (1988). Joint estimation of factor sensitivities and risk premia for the Arbitrage Pricing Theory. The Journal of Finance, 43(3), 721–735.
  • Chan, K.C. & Chen, N. F. (1991). Structural and return characteristics of small and large firms. Journal of Finance, 46(4), 1467-1484.
  • Chan, K.C., Chen, N. F. & Hsieh, D. A. (1985). An exploratory investigation of the firm size effect. Journal of Financial Economics, 14(1), 451-471.
  • Chan, K.C., Hamao, Y. & Lakonishok, J. (1991). Fundamental and stock returns in Japan. Journal of Finance, 46, 1739-1789.
  • Chang, E.C. & Pinegar, J. M. (1990). Stock market seasonals and prespecified multifactor pricing relations. Journal of Financial and Quantitative Analysis, 25(4), 517-533.
  • Chen, N.F., Roll, R. & Ross, S. (1986). Economic forces and the stock market. Journal of Business, 59(2), 383-403.
  • Chen, S. J. & Jordan, B. (1993). Some empirical tests of the arbitrage pricing theory: Macro variables vs. derived factors. Journal of Banking and Finance, 17, 65-89.
  • Cheung, C., Wong, Y. & Ng, L. K. (1998). International evidence on the stock market and aggregate economic activity. Journal of Empirical Finance, 5, 281–296.
  • Clare, A. D. & Thomas, S.H. (1994). Macroeconomic factors, the APT and the UK stock market. Journal of Business Finance and Accounting, 21, 309-330.
  • Cohen, J., Cohen, P., West, G.S. & Aiken, S.L. (2002). Applied Multiple Regression/Correlation Analysis for the Behavioral Sciences [online]. 3rd ed. Available from: http://books.google.co.uk/books?hl=en&id=fuq94a8C0ioC&dq=regression&printsec=frontco
  • Davis, J. (1994). The cross-section of realised stock returns: the pre-compustat evidence. Journal of Finance, 49, 1579–1593.
  • Dimson, E. & Mussavian, M. (1999). Three centuries of asset pricing. Journal of Banking and Finance, 23(12), 1745-1769.
  • Douglas, G. W. (1969). Risk in the equity markets: An empirical appraisal of market efficiency. Yale Economic Essays, 9, 3-45.
  • Fama, E. F. (1981). Stock returns, real activity, inflation, and money. American Economic Review, 71, 545-564.
  • Fama, E. F. & MacBeth, J. D. (1973). Risk, return and equilibrium: Empirical tests. Journal of Political Economy, 81(7), 607—636.
  • Fama, E. F. & French, K. R. (1992). The cross-section of expected stock returns. Journal of Finance, 47, 427–467.
  • Fama, E. F. & French, K. R. (1995). Size and book-to-market factors in earnings and returns. Journal of Finance, 50(5), 131-155.
  • Flannery, M. J. & Protopapadakis, A. A. (2002). Macroeconomic factors do influence aggregate stock returns. The Review of Financial Studies, 15(3), 751-782.
  • Friedman, M. (1988). Money and the stock market. Journal of Political Economy, 96, 221-245.
  • Friend. I. & Puckett, M. (1964). Dividend and stock prices. American Economic Review, 54, 656-682.
  • Geske, R. & Roll, R. (1983). The fiscal and monetary linkage between stock returns and inflation. Journal of Finance, 38, 1-33.
  • Hamada, R.S. (1972). The effect of the firm's capital structure on the systematic risk of common stocks, Journal of Finance, 14, 435-452
  • Ibrahim, M &Aziz, P. (2003). Macroeconomic variables and the Malaysian Equity Market: a view through rolling subsamples. Journal of Economic Studies, 30(1), 6-27.
  • Jaffe, J., Keim, D.B. & Westerfield, R. (1989). Earnings yields, market values and stock returns. Journal of Finance, 44, 135 – 148.
  • Jain, S. C. (2006). Emerging Economies and the Transformation of International Business. Connecticut: Edward Elgar Publishing.Jensen, G., Mercer, J. & Johnson, R. (1996). Business conditions, monetary policy and expected security returns. Journal of Financial Economics, 40, 213-38.
  • Kavussanos, M. G. & Marcoulis, S. (1997). Risk and return of U.S. water transportation stocks over time and over bull and bear market conditions. Maritime Policy & Management, 24(2), 145-158.
  • Korteweg, A. (2004). Financial leverage and expected stock returns: Evidence from pure exchange offers. University of Chicago, Working paper, http://ssrn.com/abstract=597922
  • Kothari, S. P., Shanken, J. & Sloan, R. (1995). Another look at the cross-section of expected returns. Journal of Finance, 50, 185-224.
  • Kryzanowski, L. & Zang, H. (1992). Economic forces and seasonality in security returns. Review of Quantitative Finance and Accounting, 2, 227-244.
  • Kwon , C. S. & Shin, T. S. (1999). Cointegration and causality between macroeconomic variables and stock market returns. Global Finance Journal, 10(1), 71-81.
  • Lakonishok, J. & Shapiro, A. (1986). Systematic risk, total risk, and size as determinants of stock market returns. Journal of Banking and Finance, 10, 115-132.
  • Lakonishok, J., Shleifer, A. & Vishny, R. (1994). Contrarian investments, extrapolation, and risk. Journal of Finance, 49 (5), 1541-1578.
  • Lintner, J. (1965). The valuation of risk assets and selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47(1), 13-37.
  • Ma, C. K. & Kao, G. W. (1990). On exchange rate changes and stock price reactions. Journal of Business Finance and Accounting, 17, 441–449.
  • Malkiel, B. G. & Yexiao, X. (1997). Risk and return revisited. Journal of Portfolio Management. 23(3), 9-14.
  • Mookerjee, R. & Qiao, Y. (1997). Macroeconomic variables and stock prices in a small open economy: The case of Singapore. Pacific-Basin Finance Journal, 5(3), 377-388.
  • Mukherjee, T. K. & Naka, A. (1995). Dynamic relations between macroeconomic variables and the Japanese Stock Market: An application of a Vector Error Correction Model. The Journal of Financial Research, 18, 223-237.
  • Nissim, D. & Penman S. H. (2003). Financial statement analysis of leverage and how it informs about profitability and market-to-book ratios. Review of Accounting Studies, 8, 531-560.
  • Ozcam, M. (1997). An analysis of the macroeconomic factors that determine stock return in Turkey. Capital Market Board of Turkey, 75.
  • Pearce, D. K. & Roley, V. V. (1983). The reaction on stock prices to unanticipated changes in money: A note. Journal of Finance, 38, 1323-1333.
  • Pearce, D. K. (1985). Stock prices and economic news. Journal of Business, 58(1), 49-67.
  • Poon, S. & Taylor, S. J. (1991). Macroeconomic factors and the UK Stock Market. Journal of Business and Accounting, 18(5), 619–636.
  • Rahman, S., Coggin T. D. & Lee, C. F. (1998). Some tests of the risk-return relationship using alternative pricing models and observed expected returns. Review of Finance and Accounting, 11, 69-91.
  • Reinganum, M. (1981). Misspecification of capital asset pricing: Empirical anomalies. Journal of Financial Economics, 9, 19-46.
  • Roll, R. (1981). A possible explanation of the small firm effect. Journal of Finance, 36, 879-888.
  • Rosenberg, L., Reid, K. & Lanstein, R. (1985). Persuasive evidence of market inefficiency. Journal of Portfolio Management, 11(1), 9–17.
  • Ross, S. (1976). The arbitrage theory of capital market asset pricing. Journal of Economic Theory, 13(8), 341-360.
  • Rozeff, M. S. (1984). Dividend yields are equity risk premiums. Journal of Portfolio Management, 11(1), 68-75.
  • Sevgi, L. (2006). Speaking with numbers: Scientific literacy and public understanding of science. Turkish Journal of Electrical Engineering, 14(1), 46-62.
  • Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(6), 425-442.
  • Stoll, H. R. & Whaley, R. (1983). Transactions cost and the small firm effect. Journal of Financial Economics, 12, 57-79.
  • Tobin, J. (1969). A general equilibrium approach to monetary theory. Journal of Money, Credit, and Banking, 1(1), 15-29.
  • Wongbangpo, P. & Sharma, S.C. (2002). Stock market and macroeconomic fundamental dynamic interactions: ASEAN–5 Countries. Journal of Asian Economics, 13, 27–51.
  • Yoruk, N. (2000). The test of financial assets pricing model and Arbitrage Pricing Theory on Istanbul Stock Exchange. Istanbul Stock Exchange Publication.

Arbitraj Fiyatlama Teorisi’nde Kullanılan Ülke Düzeyinde ve İşletme Düzeyinde Faktörlerin Gözden Geçirilmesi ve Büyük Veri Seti ile Hızlı Bir Test

Year 2018, Volume: 2018 Issue: 2, 102 - 117, 26.10.2018

Abstract



Bu çalışmanın öncelikli amacı Arbitraj Fiyatlama
Teorisi’nde kullanılan ülke düzeyinde ve işletme düzeyinde şeklinde iki gruba
ayrılmış risk faktörlerini gözden geçirmektir. Bu bağlamda literatürde temel
teşkil eden ve bu değişkenleri kullanan çalışmaların gözden geçirilmesi ve
özeti yapılacaktır. Çalışmanın ikinci ve literatüre en önemli katkı sağlayacak
bölümü ise ülke ve işletme düzeyindeki faktörlerin hisse senedi
fiyatlamalarında gerçekten etkin rol oynayıp oynamadığını büyük bir veri seti
ile tespit eden ampirik kısım oluşturacaktır. Bu kısımda yalnızca ülke
düzeyinde değişkenlerin kullanıldığı makro model ve yalnızca işletme düzeyinde
değişkenlerin kullanıldığı mikro model olmak üzere ki model oluşturulacaktır. 



References

  • Abdalla, I. & Murinde, V. (1997). Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines, Applied Financial Economics, 7, 25-35.
  • Aggarwal, R., Ramesh, P. & Takto, H. (1990). Regularities in Tokyo Stock Exchange security returns: P/E, size and seasonal influences. Journal of Financial Research, 13, 249-263.
  • Ajayi, R. A. & Mougoue, M. (1996). On the dynamic relation between stock prices and exchange rates. Journal of Financial Research, 19, 193–207.
  • Ando, A. & Modigliani, F. (1963). The ‘life-cycle’ hypothesis of saving: aggregate implications and tests. American Economic Review, 53(1), 55–84.
  • Bahmani, M. & Sohrabian, A. (1992). Stock prices and the effective exchange rate of the dollar. Applied Economics, 24, 459–464.
  • Bailey, W. & Chung P. (1996). Risk and return in the Philippine Equity Market: A Multifactor rxploration. Journal of Pacific-Basin, 4, 197-218.
  • Banz, M. & Rolf, W. (1981). The relationship between return and market value of stocks. Journal of Financial Economics, 9(4), 3-18.
  • Barber, B. M. & Lyon, D. J. (1997). Firm size, book-to-market ratio, and security returns: A holdout sample of financial firms. Journal of Finance, 52, 875-884.
  • Basu, S. (1977). Investment performance of common stocks in relation to the price earnings ratios: A test of the Efficient Market Hypothesis. The Journal of Finance, 32(3), 663-682.
  • Basu, S. (1983). The relationship between earnings yield, market value, and return for NYSE common stocks: Further evidence. Journal of Financial Economics, 12(6), 129-156.
  • Beenstock, M. & Chan, K. (1988). Economic forces in the London Stock Market. Oxford Bulletin of Economics and Statistics, 50, 27-39.
  • Bernanke, B.S. & Kuttner, K. (2005). What explains the stock market’s reaction to federal reserve policy? Journal of Finance, 60(3), 1221-1257.
  • Bessler, W. & Opfer, H. (2003). Empirische untersuchungen zur bedeutung makro¨okonomischer faktoren f¨ur aktienrenditen am deutschen kapitalmarkt. Financial Markets and Portfolio Management, 17, 412–436.
  • Bhandari, L. (1988). Debt/Equity Ratio and expected common stock returns: Empirical evidence. Journal of Finance, 41(14), 779-793.
  • Black, F. (1972). Capital market equilibrium with restricted borrowing. Journal of Business, 45(3), 444-455.
  • Black, F., Jensen, M. C. & Scholes, M. S. (1972). The capital asset pricing model: Some empirical tests. Studies in the Theory of Capital Markets, ed. Jensen M. C., Praeger, New York, 79-121.
  • Black, F. & Scholes, M. (1974). The effects of dividend yield and dividend policy on common stock prices and returns. Journal of Financial Economics, 1, 1-22.
  • Blume, M. E. (1980) Stock returns and dividend yields: some more evidence. Review of Economics and Statistics, 62, 567-577
  • Bodie, Z. (1976). Common stocks as a hedge against inflation. Journal of Finance, 31, 459–470.
  • Burmeister, E. & Wall, K. (1986). The Arbitrage Pricing Theory and macroeconomic factor measures. The Financial Review, 21(1), 1–20.
  • Burmeister, E. & McElroy, M. (1988). Joint estimation of factor sensitivities and risk premia for the Arbitrage Pricing Theory. The Journal of Finance, 43(3), 721–735.
  • Chan, K.C. & Chen, N. F. (1991). Structural and return characteristics of small and large firms. Journal of Finance, 46(4), 1467-1484.
  • Chan, K.C., Chen, N. F. & Hsieh, D. A. (1985). An exploratory investigation of the firm size effect. Journal of Financial Economics, 14(1), 451-471.
  • Chan, K.C., Hamao, Y. & Lakonishok, J. (1991). Fundamental and stock returns in Japan. Journal of Finance, 46, 1739-1789.
  • Chang, E.C. & Pinegar, J. M. (1990). Stock market seasonals and prespecified multifactor pricing relations. Journal of Financial and Quantitative Analysis, 25(4), 517-533.
  • Chen, N.F., Roll, R. & Ross, S. (1986). Economic forces and the stock market. Journal of Business, 59(2), 383-403.
  • Chen, S. J. & Jordan, B. (1993). Some empirical tests of the arbitrage pricing theory: Macro variables vs. derived factors. Journal of Banking and Finance, 17, 65-89.
  • Cheung, C., Wong, Y. & Ng, L. K. (1998). International evidence on the stock market and aggregate economic activity. Journal of Empirical Finance, 5, 281–296.
  • Clare, A. D. & Thomas, S.H. (1994). Macroeconomic factors, the APT and the UK stock market. Journal of Business Finance and Accounting, 21, 309-330.
  • Cohen, J., Cohen, P., West, G.S. & Aiken, S.L. (2002). Applied Multiple Regression/Correlation Analysis for the Behavioral Sciences [online]. 3rd ed. Available from: http://books.google.co.uk/books?hl=en&id=fuq94a8C0ioC&dq=regression&printsec=frontco
  • Davis, J. (1994). The cross-section of realised stock returns: the pre-compustat evidence. Journal of Finance, 49, 1579–1593.
  • Dimson, E. & Mussavian, M. (1999). Three centuries of asset pricing. Journal of Banking and Finance, 23(12), 1745-1769.
  • Douglas, G. W. (1969). Risk in the equity markets: An empirical appraisal of market efficiency. Yale Economic Essays, 9, 3-45.
  • Fama, E. F. (1981). Stock returns, real activity, inflation, and money. American Economic Review, 71, 545-564.
  • Fama, E. F. & MacBeth, J. D. (1973). Risk, return and equilibrium: Empirical tests. Journal of Political Economy, 81(7), 607—636.
  • Fama, E. F. & French, K. R. (1992). The cross-section of expected stock returns. Journal of Finance, 47, 427–467.
  • Fama, E. F. & French, K. R. (1995). Size and book-to-market factors in earnings and returns. Journal of Finance, 50(5), 131-155.
  • Flannery, M. J. & Protopapadakis, A. A. (2002). Macroeconomic factors do influence aggregate stock returns. The Review of Financial Studies, 15(3), 751-782.
  • Friedman, M. (1988). Money and the stock market. Journal of Political Economy, 96, 221-245.
  • Friend. I. & Puckett, M. (1964). Dividend and stock prices. American Economic Review, 54, 656-682.
  • Geske, R. & Roll, R. (1983). The fiscal and monetary linkage between stock returns and inflation. Journal of Finance, 38, 1-33.
  • Hamada, R.S. (1972). The effect of the firm's capital structure on the systematic risk of common stocks, Journal of Finance, 14, 435-452
  • Ibrahim, M &Aziz, P. (2003). Macroeconomic variables and the Malaysian Equity Market: a view through rolling subsamples. Journal of Economic Studies, 30(1), 6-27.
  • Jaffe, J., Keim, D.B. & Westerfield, R. (1989). Earnings yields, market values and stock returns. Journal of Finance, 44, 135 – 148.
  • Jain, S. C. (2006). Emerging Economies and the Transformation of International Business. Connecticut: Edward Elgar Publishing.Jensen, G., Mercer, J. & Johnson, R. (1996). Business conditions, monetary policy and expected security returns. Journal of Financial Economics, 40, 213-38.
  • Kavussanos, M. G. & Marcoulis, S. (1997). Risk and return of U.S. water transportation stocks over time and over bull and bear market conditions. Maritime Policy & Management, 24(2), 145-158.
  • Korteweg, A. (2004). Financial leverage and expected stock returns: Evidence from pure exchange offers. University of Chicago, Working paper, http://ssrn.com/abstract=597922
  • Kothari, S. P., Shanken, J. & Sloan, R. (1995). Another look at the cross-section of expected returns. Journal of Finance, 50, 185-224.
  • Kryzanowski, L. & Zang, H. (1992). Economic forces and seasonality in security returns. Review of Quantitative Finance and Accounting, 2, 227-244.
  • Kwon , C. S. & Shin, T. S. (1999). Cointegration and causality between macroeconomic variables and stock market returns. Global Finance Journal, 10(1), 71-81.
  • Lakonishok, J. & Shapiro, A. (1986). Systematic risk, total risk, and size as determinants of stock market returns. Journal of Banking and Finance, 10, 115-132.
  • Lakonishok, J., Shleifer, A. & Vishny, R. (1994). Contrarian investments, extrapolation, and risk. Journal of Finance, 49 (5), 1541-1578.
  • Lintner, J. (1965). The valuation of risk assets and selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47(1), 13-37.
  • Ma, C. K. & Kao, G. W. (1990). On exchange rate changes and stock price reactions. Journal of Business Finance and Accounting, 17, 441–449.
  • Malkiel, B. G. & Yexiao, X. (1997). Risk and return revisited. Journal of Portfolio Management. 23(3), 9-14.
  • Mookerjee, R. & Qiao, Y. (1997). Macroeconomic variables and stock prices in a small open economy: The case of Singapore. Pacific-Basin Finance Journal, 5(3), 377-388.
  • Mukherjee, T. K. & Naka, A. (1995). Dynamic relations between macroeconomic variables and the Japanese Stock Market: An application of a Vector Error Correction Model. The Journal of Financial Research, 18, 223-237.
  • Nissim, D. & Penman S. H. (2003). Financial statement analysis of leverage and how it informs about profitability and market-to-book ratios. Review of Accounting Studies, 8, 531-560.
  • Ozcam, M. (1997). An analysis of the macroeconomic factors that determine stock return in Turkey. Capital Market Board of Turkey, 75.
  • Pearce, D. K. & Roley, V. V. (1983). The reaction on stock prices to unanticipated changes in money: A note. Journal of Finance, 38, 1323-1333.
  • Pearce, D. K. (1985). Stock prices and economic news. Journal of Business, 58(1), 49-67.
  • Poon, S. & Taylor, S. J. (1991). Macroeconomic factors and the UK Stock Market. Journal of Business and Accounting, 18(5), 619–636.
  • Rahman, S., Coggin T. D. & Lee, C. F. (1998). Some tests of the risk-return relationship using alternative pricing models and observed expected returns. Review of Finance and Accounting, 11, 69-91.
  • Reinganum, M. (1981). Misspecification of capital asset pricing: Empirical anomalies. Journal of Financial Economics, 9, 19-46.
  • Roll, R. (1981). A possible explanation of the small firm effect. Journal of Finance, 36, 879-888.
  • Rosenberg, L., Reid, K. & Lanstein, R. (1985). Persuasive evidence of market inefficiency. Journal of Portfolio Management, 11(1), 9–17.
  • Ross, S. (1976). The arbitrage theory of capital market asset pricing. Journal of Economic Theory, 13(8), 341-360.
  • Rozeff, M. S. (1984). Dividend yields are equity risk premiums. Journal of Portfolio Management, 11(1), 68-75.
  • Sevgi, L. (2006). Speaking with numbers: Scientific literacy and public understanding of science. Turkish Journal of Electrical Engineering, 14(1), 46-62.
  • Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(6), 425-442.
  • Stoll, H. R. & Whaley, R. (1983). Transactions cost and the small firm effect. Journal of Financial Economics, 12, 57-79.
  • Tobin, J. (1969). A general equilibrium approach to monetary theory. Journal of Money, Credit, and Banking, 1(1), 15-29.
  • Wongbangpo, P. & Sharma, S.C. (2002). Stock market and macroeconomic fundamental dynamic interactions: ASEAN–5 Countries. Journal of Asian Economics, 13, 27–51.
  • Yoruk, N. (2000). The test of financial assets pricing model and Arbitrage Pricing Theory on Istanbul Stock Exchange. Istanbul Stock Exchange Publication.
There are 74 citations in total.

Details

Primary Language English
Journal Section Makaleler/2018/2
Authors

Doğuş Emin

Publication Date October 26, 2018
Published in Issue Year 2018 Volume: 2018 Issue: 2

Cite

APA Emin, D. (2018). A Review of Country-level and Firm-level Factors in Arbitrage Pricing Theory and A Quick Test with Large Dataset. Sosyal Bilimler Metinleri, 2018(2), 102-117.
AMA Emin D. A Review of Country-level and Firm-level Factors in Arbitrage Pricing Theory and A Quick Test with Large Dataset. Sosyal Bilimler Metinleri. October 2018;2018(2):102-117.
Chicago Emin, Doğuş. “A Review of Country-Level and Firm-Level Factors in Arbitrage Pricing Theory and A Quick Test With Large Dataset”. Sosyal Bilimler Metinleri 2018, no. 2 (October 2018): 102-17.
EndNote Emin D (October 1, 2018) A Review of Country-level and Firm-level Factors in Arbitrage Pricing Theory and A Quick Test with Large Dataset. Sosyal Bilimler Metinleri 2018 2 102–117.
IEEE D. Emin, “A Review of Country-level and Firm-level Factors in Arbitrage Pricing Theory and A Quick Test with Large Dataset”, Sosyal Bilimler Metinleri, vol. 2018, no. 2, pp. 102–117, 2018.
ISNAD Emin, Doğuş. “A Review of Country-Level and Firm-Level Factors in Arbitrage Pricing Theory and A Quick Test With Large Dataset”. Sosyal Bilimler Metinleri 2018/2 (October 2018), 102-117.
JAMA Emin D. A Review of Country-level and Firm-level Factors in Arbitrage Pricing Theory and A Quick Test with Large Dataset. Sosyal Bilimler Metinleri. 2018;2018:102–117.
MLA Emin, Doğuş. “A Review of Country-Level and Firm-Level Factors in Arbitrage Pricing Theory and A Quick Test With Large Dataset”. Sosyal Bilimler Metinleri, vol. 2018, no. 2, 2018, pp. 102-17.
Vancouver Emin D. A Review of Country-level and Firm-level Factors in Arbitrage Pricing Theory and A Quick Test with Large Dataset. Sosyal Bilimler Metinleri. 2018;2018(2):102-17.