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1 个结果
  • 简介:Thisstudyinvestigatestheeffectsofchangesinlocalmacroeconomicriskfactorsonreturnsonthebanking,chemicals,insurance,telecommunication,andutilitiesindustriesintheU.S.market.Usingamultifactorpricingmodelanddatafrom1998:01to2017:12,empiricalresultsshowthatthebanking,chemical,andtelecommunicationindustriesshowmoredifferencesintheirstockreactionstolocalmacroeconomicriskfactors.Theinsuranceandtelecommunicationindustriesdonotreactsignificantlytoriskfactors.However,alltheindustriesshowstrongreactionstolocalmarketportfolio.

  • 标签: ARBITRAGE PRICING theory MACROECONOMIC factors multifactor