Arbitrage Pricing Theory Applied to the Chilean Stock Market

Werner Kristjanpoller and Mauricio Morales

Lecturas de Economía, 2011, issue 74, 37-59

Abstract: Arbitrage pricing theory states that the expected return of an asset portfolio is related to factors characterizing the economy and could be associated to macroeconomic variables. In this paper, we consider equity traded in the Chilean stock market to empirically contrast the APT in its macroeconomic variant. We find evidence regarding the statistically significant impact of shocks in the monthly index of economic activity, in the consumer price index and in copper price on estimations of stock returns. In contrast, no evidence is found on the relevance of variations in the stock market index, short-term and long-term interest rates and oil prices for stock returns

Keywords: Asset pricing theory; stock exchange; market efficiency (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2011
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