The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework

Erdinc Altay ()

Finance from University Library of Munich, Germany

Abstract: This paper uses factor analytic techniques for deriving factor realizations from a group of main economic indicators of both the German and the Turkish economy in order to test the effect of economic factors on asset returns in an APT framework. The factor structure of the German economy yields 4 factors, whereas the Turkish economy has only 3 factors even though the same economic indicators are employed in the factor analysis procedures. We found some evidence of the unexpected interest rate factor and the unexpected inflation factor beta coefficients having significant effects on asset returns of the German Stock Market. But we were not able to find any unexpected macroeconomic factor beta with a significant influence on asset returns in the Turkish Stock Market.

Keywords: Asset Pricing; Arbitrage Pricing Theory; Factor Analysis; Expected Returns; Principle Components (search for similar items in EconPapers)
JEL-codes: C13 G12 G15 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2003-07-15
New Economics Papers: this item is included in nep-cfn and nep-eec
Note: Type of Document - Acrobat PDF; prepared on IBM PC ; to print on PostScript; pages: 36 ; figures: included
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0307006

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