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

Year 2023, Volume: 8 Issue: 3, 404 - 424, 30.09.2023

Serkan Şengül

https://doi.org/10.30784/epfad.1298533

Abstract

In this study, the explanatory power of the macro variables in relation to the variation of stock returns has been discussed in terms of the economy of the USA. To make an analysis of 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 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 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 certain periods of boom and recession. The relations established between latent factors and stock returns appear to be unimportant during the downturn periods.

Keywords

Stock Return, Fama French, CAPM, Macroeconomic Factors, Principal Component Analysis

Ortak Makroekonomi Faktörlerinin ABD Hisse Senedi Getirileri Üzerindeki Etkileri

Abstract

Bu çalışmada, makro değişkenlerin hisse senedi getirilerindeki değişimi açıklama gücü ABD ekonomisi açısından ele alınmıştır. Hisse senedi getirilerinin yatay kesiti üzerinde bir analiz yapmak için 1964-2007 yılları arasındaki 131 makroekonomik değişken kullanılmıştır. Aylık 131 serideki bilgileri toplayarak, 8 potansiyel faktörü çıkarmak için dinamik faktör analizi kullanılmıştır. Faktör modelinin pragmatik sunumunun ölçülebilmesi için Fama-Macbeth'in iki aşamalı test prosedürü uygulanmıştır. Piyasa riski faktörü, büyüklük faktörü, değer faktörü ve momentum faktörü gibi literatürde yer alan değişkenlere ek olarak, makro faktörlerin ABD hisse senedi getirilerindeki ortak varyasyonun açıklanmasında oldukça etkili olduğu tespit edilmiştir. Yukarıda belirtilen testler, büyüklük ve deftere göre oluşturulan Fama French 100 portföylerinin yanı sıra Fama French 49 endüstri portföyleri aracılığıyla gerçekleştirilmiştir. Ayrıca, faktör modeli oluşturulmuş ve belirli patlama ve durgunluk dönemleri için tasarlanmıştır. Gizli faktörler ile hisse senedi getirileri arasında kurulan ilişkilerin gerileme dönemlerinde önemsiz olduğu görülmektedir.

Keywords

Hisse Senedi Getirisi, Fama French, KVFM, Makroekonomik Faktörler, Temel Bileşen Analizi

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