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Arbitrage Pricing Theory Applied to the Chilean Stock Market

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  • Werner Kristjanpoller
  • Mauricio Morales
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    Abstract

    Arbitrage pricing theory states that the expected return of an asset portfolio is related to factors characterizing the economy and could be associated to macroeconomic variables. In this paper, we consider equity traded in the Chilean stock market to empirically contrast the APT in its macroeconomic variant. We find evidence regarding the statistically significant impact of shocks in the monthly index of economic activity, in the consumer price index and in copper price on estimations of stock returns. In contrast, no evidence is found on the relevance of variations in the stock market index, short-term and long-term interest rates and oil prices for stock returns

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    File URL: http://aprendeenlinea.udea.edu.co/revistas/index.php/lecturasdeeconomia/article/view/9993/9220
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    Bibliographic Info

    Article provided by Universidad de Antioquia, Departamento de Economía in its journal LECTURAS DE ECONOMÍA.

    Volume (Year): (2011)
    Issue (Month): 74 ()
    Pages: 37-59

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    Handle: RePEc:lde:journl:y:2011:i:74:p:37-59

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    Web page: http://economia.udea.edu.co
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    Postal: Lecturas de Economía, Departamento de Economía, Calle 67, 53-108, Medellin 050010, Colombia.

    Related research

    Keywords: Asset pricing theory; stock exchange; market efficiency;

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