a Original cataloging agency NEU GrandLibrary

a Language code of text/sound track or separate title eng

a Classification number HB172.5

b Item number .E34 2007

a Personal name Günsel, Nil.

h Medium Electronic Document

a Title The Effects of Macroeconomic Factors on the London Stock Returns: A Sectoral Approach

c Statement of responsibility, etc Nil Günsel, Sadık Çukur.

c Date of publication, distribution, etc 2007.

b Name of publisher, distributor, etc EuroJournals Publishing,

a General note https://www.researchgate.net/publication/272162558_The_Effects_of_Macroeconomic_Factors_on_the_London_Stock_Returns_A_Sectoral_Approach

a Summary, etc The objective of this paper is to investigate the performance of the Arbitrage Pricing Theory (APT) in London Stock Exchange for the period of 1980-1993 as monthly. The study develops seven prespecified macroeconomic variables. The term structure of interest rate, the risk premium, the exchange rate, the money supply and unanticipated inflation are similar to those derived in Chen, Roll and Ross (1986). This study extends the approach of Chen, Roll and Ross, by adding industry specific variables, such as sectoral dividend yield and sectoral unexpected production. Using OLS technique, we have demonstrated that there are some big differences among industries. Before interpreting the OLS results, the serial correlation problem is discussed by using Durbin – Waltson Statistics. D-W statistics show that there is no evidence for positive or negative serial correlation.

a Topical term or geographic name as entry element Near East University Article

a Topical term or geographic name as entry element Yakın Doğu Üniversitesi Makale

a Topical term or geographic name as entry element Macroeconomics

a Topical term or geographic name as entry element Arbitrage Pricing Theory

a Topical term or geographic name as entry element London Stock Exchange

t Title International Research Journal of Finance and Economics

g Relationship information 2007, Issue 10