The Effects of Common Macroeconomics Factors on U.s Stock Returns

dc.contributor.advisor Akkemik, Ali en_US
dc.contributor.author Şengül, Serkan
dc.contributor.author Akkemik, Küçük Ali
dc.contributor.other Economics
dc.date.accessioned 2020-06-24T11:32:20Z en_US
dc.date.available 2020-06-24T11:32:20Z en_US
dc.date.issued 2014 en_US
dc.department Enstitüler, Lisansüstü Eğitim Enstitüsü, İktisat Ana Bilim Dalı en_US
dc.department-temp Kadir Has University : Graduate School of Social Sciences : Economics  en_US
dc.description.abstract In this study, the macro variables' explanatory power in relation to the variation of stock returns has been discussed in terms of the economy of the USA. In order to make an analysis on 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 out 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 the 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 the certain periods of boom and recession. In comparison to the boom periods, the relations established between latent factors and stock returns appear to be unimportant during the downturn periods. en_US
dc.description.abstract Bu çalışmada makroekonomik faktörlerin Amerikan hisse senetleri fiyatlarına etkisi incelenmiştir. Bunun için 131 adet makroekonomik seriden 8 tane gizli faktör elde edilerek modelin açıklayıcılık gücüne bakılmıştır. Bunun için Fama Macbeth iki yönlü regresyon modeli kullanılmıştır. Oluşturulan modellere ek olarak bazı bağımsız faktörler de eklenerek makroekonomik faktörlerin açıklayıcılık gücü test edilmiştir. Bu bağlamda iki farklı veri seti ele alınmış olup bunlardan biri 49 endüstri portföyü ile 100 adet kişisel portföyün olduğu setler kullanılmış olup bireyler portföy ikiye ayırılarak kriz ve büyüme zamanları için ayrı ayrı incelenmiştir.Sonuç olarak makroekonomil faktörler hisse senetleri için önemli etkilerinin olduğu bulunmuş olup, ayrıca kriz zamanları için bu faktörler büyüme zamanlarına göre çok daha önemli olduğu bulunmuştur. en_US
dc.identifier.uri https://hdl.handle.net/20.500.12469/2958
dc.identifier.yoktezid 361743 en_US
dc.language.iso en en_US
dc.publisher Kadir Has Üniversitesi en_US
dc.relation.publicationcategory Tez en_US
dc.rights info:eu-repo/semantics/openAccess en_US
dc.subject United States of America en_US
dc.subject Stock valuation en_US
dc.subject Stocks en_US
dc.subject Macroeconomy en_US
dc.subject Macroeconomic factors en_US
dc.subject Amerika Birleşik Devletleri en_US
dc.subject Hisse senedi değeri en_US
dc.subject Hisse senetleri en_US
dc.subject Makroekonomi en_US
dc.subject Makroekonomik faktörler en_US
dc.title The Effects of Common Macroeconomics Factors on U.s Stock Returns en_US
dc.type Master Thesis en_US
dspace.entity.type Publication
relation.isAuthorOfPublication 00ee527c-826b-41c4-b882-07428df14512
relation.isAuthorOfPublication.latestForDiscovery 00ee527c-826b-41c4-b882-07428df14512
relation.isOrgUnitOfPublication c7c3d3ed-3819-4066-adbd-b0a2bbda3041
relation.isOrgUnitOfPublication.latestForDiscovery c7c3d3ed-3819-4066-adbd-b0a2bbda3041

Files

Original bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
The Effects Of Common Macroeconomics Factors On U.S. Stock Returns.pdf
Size:
2.22 MB
Format:
Adobe Portable Document Format
Description:

License bundle

Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:

Collections