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Unemployment, Inflation, and Common Stock Returns
Investigates the relationship between macroeconomic risk and common stock returns, moving beyond the standard Capital Asset Pricing Model (CAPM). The authors propose a multifactor model where a stock's expected return is determined not only by its sensitivity to the market portfolio (the market beta) but also by its sensitivity to unexpected changes in unemployment and inflation. Their key finding is that both unemployment and inflation are statistically significant factors in explaining security returns over the decade, carrying positive risk premia.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| JMCB1402 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Ohio: Ohio State University Press 1982 |
|---|---|
| Edisi | Vol. 14, No. 2, May, 1982 |
| Subjek | Risk premium Arbitrage Pricing Theory (APT) Macroeconomic risk Multifactor Asset Pricing Empirical Asset Pricing |
| ISBN/ISSN | 00222879 |
| Klasifikasi | NONE |
| Deskripsi Fisik | - |
| Info Detail Spesifik | Journal of Money, Credit and Banking |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |