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Abstract

This thesis is an investigation into the relationship that exists between macroeconomic variables and the pricing of common stock under trending market conditions. By introducing a dichotomous independent variable as a way of distinguishing between periods of rising and falling thereby attaching an additional expected premium to each of five accepted sources of macroeconomic risk for participation in ‘Bear’ markets. 228 observations of the fourteen industry sub-groupings of former TSE 300 were examined separately. The ultimate results were obtained using the Arbitrage Pricing Theory (APT) as the model to obtain factor exposures. The results show that there is no significant relationship between market trend and the pricing of common stock when the APT is applied. The final recommendation is that more research is needed.

Details

Title
The effect of macroeconomic variables on the pricing of common stock under trending market conditions
Author
Fodor, Bryan D.
Year
2003
Publisher
ProQuest Dissertations & Theses
ISBN
978-0-612-87515-9
Source type
Dissertation or Thesis
Language of publication
English
ProQuest document ID
305240900
Copyright
Database copyright ProQuest LLC; ProQuest does not claim copyright in the individual underlying works.