Yıl: 2023 Cilt: 8 Sayı: 3 Sayfa Aralığı: 404 - 424 Metin Dili: İngilizce DOI: 10.30784/epfad.1298533 İndeks Tarihi: 06-10-2023

THE EFFECTS OF COMMON MACROECONOMICS FACTORS ON U.S. STOCK RETURNS

Öz:
In this study, the explanatory power of the macro variables in relation to the variation of stock returns has been discussed in terms of the economy of the USA. To make an analysis of the cross-section of the stock returns, 131 Macroeconomic variables between 1964 and 2007 have been put into use. Summing up the information in 131 monthly series, dynamic factor analysis is used to take out 8 potential factors. So that the pragmatic presentation of the factor model can be measured, Fama-Macbeth’s test procedure of two phases is applied. In addition to the variables included in the literature such as market risk factor, size factor, value factor, and momentum factors, it is found that the macro factors are highly influential on the explanation of the common variation in U.S stock returns. The tests stated above have been performed by means of Fama French 49 industry portfolios, apart from Fama French 100 portfolios that have been formed on size and book. Furthermore, the factor model is established and intended for certain periods of boom and recession. The relations established between latent factors and stock returns appear to be unimportant during the downturn periods.
Anahtar Kelime: Stock Return Fama French CAPM Macroeconomic Factors Principal Component Analysis

Ortak Makroekonomi Faktörlerinin ABD Hisse Senedi Getirileri Üzerindeki Etkileri

Öz:
Bu çalışmada, makro değişkenlerin hisse senedi getirilerindeki değişimi açıklama gücü ABD ekonomisi açısından ele alınmıştır. Hisse senedi getirilerinin yatay kesiti üzerinde bir analiz yapmak için 1964-2007 yılları arasındaki 131 makroekonomik değişken kullanılmıştır. Aylık 131 serideki bilgileri toplayarak, 8 potansiyel faktörü çıkarmak için dinamik faktör analizi kullanılmıştır. Faktör modelinin pragmatik sunumunun ölçülebilmesi için Fama-Macbeth'in iki aşamalı test prosedürü uygulanmıştır. Piyasa riski faktörü, büyüklük faktörü, değer faktörü ve momentum faktörü gibi literatürde yer alan değişkenlere ek olarak, makro faktörlerin ABD hisse senedi getirilerindeki ortak varyasyonun açıklanmasında oldukça etkili olduğu tespit edilmiştir. Yukarıda belirtilen testler, büyüklük ve deftere göre oluşturulan Fama French 100 portföylerinin yanı sıra Fama French 49 endüstri portföyleri aracılığıyla gerçekleştirilmiştir. Ayrıca, faktör modeli oluşturulmuş ve belirli patlama ve durgunluk dönemleri için tasarlanmıştır. Gizli faktörler ile hisse senedi getirileri arasında kurulan ilişkilerin gerileme dönemlerinde önemsiz olduğu görülmektedir.
Anahtar Kelime: Hisse Senedi Getirisi Fama French KVFM Makroekonomik Faktörler Temel Bileşen Analizi

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA Sengul S (2023). THE EFFECTS OF COMMON MACROECONOMICS FACTORS ON U.S. STOCK RETURNS. , 404 - 424. 10.30784/epfad.1298533
Chicago Sengul Serkan THE EFFECTS OF COMMON MACROECONOMICS FACTORS ON U.S. STOCK RETURNS. (2023): 404 - 424. 10.30784/epfad.1298533
MLA Sengul Serkan THE EFFECTS OF COMMON MACROECONOMICS FACTORS ON U.S. STOCK RETURNS. , 2023, ss.404 - 424. 10.30784/epfad.1298533
AMA Sengul S THE EFFECTS OF COMMON MACROECONOMICS FACTORS ON U.S. STOCK RETURNS. . 2023; 404 - 424. 10.30784/epfad.1298533
Vancouver Sengul S THE EFFECTS OF COMMON MACROECONOMICS FACTORS ON U.S. STOCK RETURNS. . 2023; 404 - 424. 10.30784/epfad.1298533
IEEE Sengul S "THE EFFECTS OF COMMON MACROECONOMICS FACTORS ON U.S. STOCK RETURNS." , ss.404 - 424, 2023. 10.30784/epfad.1298533
ISNAD Sengul, Serkan. "THE EFFECTS OF COMMON MACROECONOMICS FACTORS ON U.S. STOCK RETURNS". (2023), 404-424. https://doi.org/10.30784/epfad.1298533
APA Sengul S (2023). THE EFFECTS OF COMMON MACROECONOMICS FACTORS ON U.S. STOCK RETURNS. Ekonomi, Politika & Finans Araştırmaları Dergisi, 8(3), 404 - 424. 10.30784/epfad.1298533
Chicago Sengul Serkan THE EFFECTS OF COMMON MACROECONOMICS FACTORS ON U.S. STOCK RETURNS. Ekonomi, Politika & Finans Araştırmaları Dergisi 8, no.3 (2023): 404 - 424. 10.30784/epfad.1298533
MLA Sengul Serkan THE EFFECTS OF COMMON MACROECONOMICS FACTORS ON U.S. STOCK RETURNS. Ekonomi, Politika & Finans Araştırmaları Dergisi, vol.8, no.3, 2023, ss.404 - 424. 10.30784/epfad.1298533
AMA Sengul S THE EFFECTS OF COMMON MACROECONOMICS FACTORS ON U.S. STOCK RETURNS. Ekonomi, Politika & Finans Araştırmaları Dergisi. 2023; 8(3): 404 - 424. 10.30784/epfad.1298533
Vancouver Sengul S THE EFFECTS OF COMMON MACROECONOMICS FACTORS ON U.S. STOCK RETURNS. Ekonomi, Politika & Finans Araştırmaları Dergisi. 2023; 8(3): 404 - 424. 10.30784/epfad.1298533
IEEE Sengul S "THE EFFECTS OF COMMON MACROECONOMICS FACTORS ON U.S. STOCK RETURNS." Ekonomi, Politika & Finans Araştırmaları Dergisi, 8, ss.404 - 424, 2023. 10.30784/epfad.1298533
ISNAD Sengul, Serkan. "THE EFFECTS OF COMMON MACROECONOMICS FACTORS ON U.S. STOCK RETURNS". Ekonomi, Politika & Finans Araştırmaları Dergisi 8/3 (2023), 404-424. https://doi.org/10.30784/epfad.1298533