Economic Forces and the Stock Market
Опубликовано на портале: 12-11-2004
Journal of Business.
1986.
Vol. 59.
No. 3.
P. 383-403.
Тематический раздел:
This paper tests whether innovations in macroeconomic variables are risks that are
rewarded in the stock market. Financial theory suggests that the following macroeconomic
variables should systematically affect stock market returns: the spread between long
and short interest rates, expected and unexpected inflation, industrial production,
and the spread between high- and low-grade bonds. We find that these sources of risk
are significantly priced. Furthermore, neither the market portfolio nor aggregate
consumption are priced separately. We also find that oil price risk is not separately
rewarded in the stock market.
Материалы статьи используются в книге "Принципы корпоративных финансов" (Брейли, Майерс)
Ключевые слова
financial theory innovation risk stock market инновации риск рынок ценных бумаг финансы экономические факторы
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