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Asset prices are commonly believed to react sensitively to economic news. Daily experience seems to support the view that individual asset prices are influenced by a wide variety of unexpected events and that some events have a more insidious effect on asset prices than do others. (Chen et al., 1986) Thus, various asset pricing models can be used to determine equity returns. The one-factor CAPM is the influential asset pricing model in the literature but a few multi-factor asset pricing models have also been derived.
An important body of research in financial economics has been the behaviour of asset returns and particularly the forces that ascertain the prices of risky assets. There are also a number of competing theories of asset pricing. These include the original capital asset pricing models (hereafter CAPM) of Sharpe (1964), Lintner (1965) and Black (1972), the intertemporal models of Merton (1973), Long (1974), Rubinstein (1976), Breeden (1979), and Cox et al. (1985), and the arbitrage pricing theory (hereafter APT) of Ross (1976). (Piestley,1996)
Arguably, the most renowned multi-factor model is the Ross’s APT which was developed in the year 1976. This is the basis of my research in which I have tested 20 Portfolios against 7 Macro Economic Variables. In the mentioned macro economic variables I have taken all local, regional and global factors. So that the analysis on all levels can be done.
In my research it has been observed that few of the macro economic factors have more influence with portfolio returns, while others have comparatively less impact on the portfolios.
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