MACROECONOMIC FACTORS, THE APT AND THE UK STOCKMARKET
使用1983-1990年英国840只股票的月度数据，检验宏观经济风险因素是否被定价，发现基于贝塔排序的资产组合中多个宏观变量显著，但基于市值排序的组合中仅通胀和股市相对国债的“费用”被定价。
This paper examines the macroeconomic sources of risk priced in the UK stockmarket between 1983 and 1990 using monthly data on 840 stocks to form both beta‐sorted and market value sorted portfolios using the methodology proposed by Chen, Roll and Ross (1986) and Chan, Chen and Hsieh (1985) for the US. We find that several intuitively plausible macroeconomic variables were priced over this period using the beta sorted portfolios and that once these variables are included there is little role for the return on the market. However, when the market value sorted portfolios were used only inflation and a measure of equity market ‘expense’ relative to gilts was priced; furthermore with the market value sorted portfolios a role for the market return was found.