Macroeconomics and the market risk premium: a study of the capacity of macroeconomic variables to explain stock market risk premia across five economies

Brownjohn, Cameron W. (1999). Macroeconomics and the market risk premium: a study of the capacity of macroeconomic variables to explain stock market risk premia across five economies Honours Thesis, Dept. of Commerce, The University of Queensland.

       
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Author Brownjohn, Cameron W.
Thesis Title Macroeconomics and the market risk premium: a study of the capacity of macroeconomic variables to explain stock market risk premia across five economies
School, Centre or Institute Dept. of Commerce
Institution The University of Queensland
Publication date 1999
Thesis type Honours Thesis
Total pages 81
Language eng
Subjects 14 Economics
Formatted abstract
This study investigates the explanatory capacity of macroeconomic variables on the stock market risk premiums of Australia, Germany, Japan, the United Kingdom and the United States of America. The results display that the markets are significantly related to the movements of the "world" marketplace, and that the incremental explanatory capacity of individual economic factors over this effect is minimal. Several macroeconomic variables are significantly related to market risk premia at differing points in time and on differing economies, although these variables fail to consistently explain risk premia either across markets or across time. The results are consistent with the capital asset pricing model in so far as the "world" marketplace encompasses the individual stock markets. The results are also consistent with the market integration hypothesis.

Document type: Thesis
Collection: UQ Theses (non-RHD) - UQ staff and students only
 
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Created: Wed, 27 Oct 2010, 09:18:06 EST by Ning Jing on behalf of The University of Queensland Library