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Test of intertemporal variability of APT in a volatile economy

The main objective of this study provides test of APT for Tehran stock market and also attempt to find the relevant factors that price the stock returns over time. Tests conducted using the principal component analysis and canonical correlation model showed that at least one to three factors can ex...

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Main Authors: Sabetfar, Pooya, Cheng, Fan Fah
Format: Article
Language:English
Published: Greener Journals 2013
Online Access:http://psasir.upm.edu.my/id/eprint/28401/1/Test%20of%20intertemporal%20variability%20of%20APT%20in%20a%20volatile%20economy.pdf
http://psasir.upm.edu.my/id/eprint/28401/
http://www.gjournals.org/GJMBS/gjbms-archive/vol-39dec-2013.html
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spelling my.upm.eprints.284012016-01-28T02:06:34Z http://psasir.upm.edu.my/id/eprint/28401/ Test of intertemporal variability of APT in a volatile economy Sabetfar, Pooya Cheng, Fan Fah The main objective of this study provides test of APT for Tehran stock market and also attempt to find the relevant factors that price the stock returns over time. Tests conducted using the principal component analysis and canonical correlation model showed that at least one to three factors can explain the cross-section of expected returns in this market. In full sample test, the evidence identifies 22 factors in sample and only 13 are priced. Again, in second sub period, there are 24 common factors from the smallest to largest samples and only 15 are priced. This study discovers that the sources of systematic risk are dissimilar due to the different periods in TSE. In full period the sources of risk are export of crude oil and interest rate proxy. In second sub periods money supply (M2), money supply (M1), consumer price index and GDP are sources of risk. So, the so urces of systematic risks in TSE are dissimilar and not quantified. The important macroeconomic variables could be affected by stock returns changes during times. Therefore, it is hard to identify exactly which is the source of risk in TSE. Greener Journals 2013-12 Article NonPeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/28401/1/Test%20of%20intertemporal%20variability%20of%20APT%20in%20a%20volatile%20economy.pdf Sabetfar, Pooya and Cheng, Fan Fah (2013) Test of intertemporal variability of APT in a volatile economy. Greener Journal of Business and Management Studies, 3 (9). pp. 393-407. ISSN 2276-7827 http://www.gjournals.org/GJMBS/gjbms-archive/vol-39dec-2013.html
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description The main objective of this study provides test of APT for Tehran stock market and also attempt to find the relevant factors that price the stock returns over time. Tests conducted using the principal component analysis and canonical correlation model showed that at least one to three factors can explain the cross-section of expected returns in this market. In full sample test, the evidence identifies 22 factors in sample and only 13 are priced. Again, in second sub period, there are 24 common factors from the smallest to largest samples and only 15 are priced. This study discovers that the sources of systematic risk are dissimilar due to the different periods in TSE. In full period the sources of risk are export of crude oil and interest rate proxy. In second sub periods money supply (M2), money supply (M1), consumer price index and GDP are sources of risk. So, the so urces of systematic risks in TSE are dissimilar and not quantified. The important macroeconomic variables could be affected by stock returns changes during times. Therefore, it is hard to identify exactly which is the source of risk in TSE.
format Article
author Sabetfar, Pooya
Cheng, Fan Fah
spellingShingle Sabetfar, Pooya
Cheng, Fan Fah
Test of intertemporal variability of APT in a volatile economy
author_facet Sabetfar, Pooya
Cheng, Fan Fah
author_sort Sabetfar, Pooya
title Test of intertemporal variability of APT in a volatile economy
title_short Test of intertemporal variability of APT in a volatile economy
title_full Test of intertemporal variability of APT in a volatile economy
title_fullStr Test of intertemporal variability of APT in a volatile economy
title_full_unstemmed Test of intertemporal variability of APT in a volatile economy
title_sort test of intertemporal variability of apt in a volatile economy
publisher Greener Journals
publishDate 2013
url http://psasir.upm.edu.my/id/eprint/28401/1/Test%20of%20intertemporal%20variability%20of%20APT%20in%20a%20volatile%20economy.pdf
http://psasir.upm.edu.my/id/eprint/28401/
http://www.gjournals.org/GJMBS/gjbms-archive/vol-39dec-2013.html
_version_ 1643829454038892544
score 13.211869

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