Share prices and macroeconomic factors

Article Abstract:

The Arbitrage Pricing Theory (APT) as applied by Chen, Roll and Ross in which the factors in the APT were identified with macroeconomic variables was tested. Data from monthly Australian sectoral share-price indexes from 1980 to 1994 showed that the inflation rate was consistently priced. The importance of the other factors depended on the sample period. The APT with or without artificial factors, performed better than the more popular Capital Asset Pricing Model.

Evaluation, Economic aspects, Stocks, Stock price indexes, Capital assets, Macroeconomics, Capital assets pricing model, Capital asset pricing model

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Discussion of 'Large shareholders, takeovers and target valuation.' (comment on Sudi Sudarsanam in this issue, p. 295)(Special Issue: Selected Papers from the Conference on Empirical Research in Business Finance and Accounting, May 1995)

Article Abstract:

A discussion of the properties and characteristics of the abnormal return series, on which the results of an investigation of the valuation effects of large share acquisitions are based, would have enhanced data analysis. Such an analysis would have been a critical initial step in determining the effects of an 'event.' A modelling of the observable time series features of the data would have been useful in analyzing and measuring the effect of an event.

Research, Acquisitions and mergers, Stockholders, Valuation

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Forecasting Beta: How well does the 'five-year rule of thumb' do?

Article Abstract:

CAPM betas, used for a future period to calculate required or expected future returns, are considered.

Commercial Banks, Commercial Banking, Business Financing, Return on investment, Rate of return

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