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Contribution Details
Type | Bachelor's Thesis |
Scope | Discipline-based scholarship |
Title | The effect of macroeconomic factors in the German stock market |
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Institution | University of Zurich |
Faculty | Faculty of Business, Economics and Informatics |
Date | 2021 |
Abstract Text | This paper investigates the influence of macroeconomic factors in the German stock market using the Arbitrage Pricing Theory (APT) model. We ran time-series regressions using a set of factors already present in past studies, expanding it with variables potentially relevant to the German market. Our procedure allows us to examine the robustness of the theory in the German stock market and to compare the results with those of other countries. Our findings suggest that there are several factors priced into the industry sorted portfolios, of which three are significant in almost all portfolios: risk premia, term structure, and market index. |
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