The Stability of the Relation between the Stock Market and Macroeconomic Forces
The Stability of the Relation between the Stock Market and Macroeconomic Forces
复制标题
股票市场与宏观经济力量关系的稳定性
DOI：
10.2139/ssrn.326940
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发表时间：
2002
期刊：
影响因子：
--
通讯作者：
F. Panetta
中科院分区：
文献类型：
--
作者：
F. Panetta
本文确定了影响意大利股票收益的宏观经济因素，并测试了它们与证券收益的关系的稳定性。在我们分析的16年期间，股票收益率与宏观经济因素之间的关系被发现是高度不稳定的：不仅个别证券的贝塔值随着时间的推移几乎不相关，而且很高比例的股票经历了估计负荷的符号反转。这一结果并不局限于单一时期或一小部分股票，而是适用于不同的子时期和所有风险类别的证券。这些研究结果表明，资产定价的实证分析应仔细研究的回报产生过程和稳定性的风险措施的规格。
This paper identifies the macroeconomic factors that influence Italian equity returns and tests the stability of their relation with securities returns. In the sixteen-year period that has been analyzed the relation between stock returns and the macroeconomic factors is found to be highly unstable: not only are the betas of individual securities virtually uncorrelated over time, but a high percentage of the shares experience a reversal of the sign of the estimated loadings. This result is not confined to single periods or to a small group of shares, but holds in different sub-periods and for securities in all risk classes. These findings suggest that empirical analysis of asset pricing should carefully investigate the specification of the return generating process and the stability of the risk measures.