...year period, compute quarterly realized betas from daily data. Find firm specific and macroeconomic variables that help explain quarterly beta. Answer 1.1 Factors Introduction Factor model survey the sensitivity of a stock return as a function of one or more factors. There are single-factor and multi-factor models. In factors model, based on the type of factors used, it can be classified to economic and fundamental factor models. Economic factor models use macroeconomic and financial markets variables as factors, while fundamental factor models use firm-specific microeconomic variables, such as financial indicators. In recent research shows that the change in macroeconomic factors could be reflected in the change of systematic risk which impacts a stock’s expected return (Humpe & Macmillan 2007). Macroeconomic factors included industry production index, CPI, GDP, unemployment rate, inflation rate, risk premium, default premium, business cycle index and so on. From Chen (1986) notable study which uses variables include industrial production, inflation, risk premium, term structure, market index, consumption and oil prices to found out that industrial production, unanticipated change in the risk premium, unanticipated inflation, and, a slightly weaker, the unanticipated change in term structure, are the most important factors affecting expected stock returns. The 15 macroeconomic variables used as factors in our model are shown in Data Exhibit. Moreover, we choose...
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...Introduction Stock market is a place for listed companies to raise capital .Companies can use the capital for continuing operating activities and expand business. However, the investors are explained to get a positive return from dividend and capital gain in the stock market. Based on the history, the economic condition will influence stock market. For instances, Malaysia faced deflation during the Asian crisis in years 1997. It caused the KLCI index sharply reduced from 1207.43 to 470.43. It have been shown that the investors need to predict the stock prices based on the macro factors to get an abnormal return from stock market There were a lot of researches to study the relationship between macroeconomics variables and stock returns. It is important to study the interaction of macroeconomics factor and stock return. Based on the study, the public can identify which factors can influence the stock market and use the knowledge to predict movement of stock price. According to Wongbangpo & Sharma (2002), the research can reveal the functions of stock market in identify the change in economic condition and also can predict the future performance of stock market. Besides, the study will be useful for the stock market participators. Clare & Priestley (1998) said that the study of the risk factor relationship of stock market will be useful for corporate manager to undertake cost of capital calculation. Moreover, the fund managers can use the information from the result of study to make...
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...INTRODUCTION Macroeconomic Variables Macroeconomics is a branch of economics dealing with the performance, structure, behaviour, and decision-making of an economy as a whole, rather than individual markets. This includes national, regional, and global economies. Macroeconomic is a factor that is pertinent to a broad economy at the regional or national level and affects a large population rather than a few select individuals. Macroeconomic factors are key indicators of economic performance and are closely monitored by governments, businesses and consumers. Macroeconomic factors are the factors which affect the wider economy. In other words these factors seem to summarize the picture of economy. Macroeconomic variables include economic output, unemployment, inflation, interest rates, money supply, exchange rate, foreign reserves, savings and investment. Variables used in study: • Consumer Price Index (CPI) Inflation is a rise in the general level of prices of goods and services in an economy over a period of time. When the general price level rises, each unit of currency buys fewer goods and services. Consequently, inflation also reflects erosion in the purchasing power of money – a loss of real value in the internal medium of exchange and unit of account within the economy. A chief measure of price inflation is the inflation rate, the annualized percentage change in a general price index (normally the CPI) over time. A consumer price index (CPI) measures changes in the...
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...wages, incomes, individual industries and particular commodities." ( K. E. Boulding) In micro economics, we study the small segments of an economy or, in other words, we take up the individual decision – making units of an economy in microeconomics e.g., we analyze the demand of a product or often individual and the equilibrium price of a product rather than discussing the aggregate demand of the economy and the general price level in a country. Similarly in microeconomics, we study the determination of price/reward of a factor of production, analysis of an individual firm or industry, the consumption pattern of a person, choice of technique and different market situations etc. Microeconomics is generally called the “Price Theory”. • Production. In this part of microeconomics we study the meaning of the production of wealth, the cost of production and how it is minimized factor of production and their relative importance in the production process, the production function, the analysis of supply etc. • Exchange. This part covers the market mechanism or the exchange of wealth through the forces of demand and supply, perfect and imperfect market at the behavior of the competitors etc. • Distribution. This part starts with the theory of distribution of rewards to the four factors of production. It explicit by bringing into account the theories of wage, rent, interest and profit. • Consumption. This part brings into focus the behavior of a consumer, maximization of total utility...
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...AN ANALYSIS OF THE EFFECTS OF INTEREST RATE AND EXCHANGE RATE CHANGES ON STOCK MARKET RETURNS: EMPIRICAL EVIDENCE OF GHANA STOCK EXCHANGE A thesis submitted to the Institute of Distance Learning, Kwame Nkrumah University of Science and Technology in partial fulfillment of the requirement for the degree of COMMONWEALTH EXECUTIVE MASTERS OF BUSINESS ADMINISTRATION Institute of Distance Learning, KNUST JUNE, 2011 DECLARATION I hereby declare that this submission is my own work toward the Commonwealth Executive Master of Business Administration and that, to the best of my knowledge, it contains no material previously published by another person nor material which has been accepted for the award of any other degree of the University except where due acknowledgement has been made in the text. RANSFORD CHARLES ENYAAH (STUDENT ID No: 20103521) …………………… Signature …………………. Date Certified by: EDWARD ACHEAMPONG (SUPERVISOR) …………………… Signature …………………. Date Certified by: ……………………………… Head of IDL …………………… Signature …………………. Date i DEDICATION I dedicate this project work to the Lord Almighty and all my loved ones. ii ACKNOWLEDGEMENT First of all, I thank the almighty God for fulfilling his promises to my life and for granting me the strength, wisdom and knowledge to complete this work My profound gratitude goes to my Supervisor, Mr. Edward Acheampong (Lecturer, Methodist University College, Ghana) for his unflinching dedication...
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...where the marginal benefit is greater than the marginal cost. You will develop a better understanding of these features as you read about the economic issues in this book. Economics relies heavily on the scientific method to develop theories and principles to explain the likely effects from human events and behavior. It involves gathering data, testing hypotheses, and developing theories and principles. In essence, economic theories and principles (and related terms such as laws and models) are generalizations about how the economic world works. Economists develop economic theories and principles at two levels. Microeconomics targets specific units in the economy. Studies at this level research such questions as how prices and output are determined for particular products and how consumers will react to price changes. Macroeconomics focuses on the whole economy, or large segments of it. Studies at this level investigate such issues as how to increase economic growth, control inflation, or maintain full employment. Studies at either level have elements of positive economics, which investigates facts or cause-and-effect relationships, or normative economics, which incorporates subjective views of...
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...Intermediate Macroeconomics Motivation The Extended Solow Model Growth of Total Capital and Output What are the growth rates of total output and capital outside the steady state? Total Capital: K ) AN K AN K AN A A K = K N K ) = N K K AN K AN + gA + gN Total Output: Y = K ↵ (AN)1 ↵ K Y =↵ + (1 ) Y K ↵) ✓ A N + A N ◆ Plugging in from above: Y =↵ Y K AN K AN ! + gA + gN +(1 ↵)(gA +gN ) = ↵ Andre Switala Intermediate Macroeconomics K AN K AN +gA +gN Motivation The Extended Solow Model Capital per E↵ective Worker We know that the growth rate of capital per e↵ective worker is negative in the transition to the new steady state and that it becomes less negative over time. Intermediate Macroeconomics Motivation The Extended Solow Model Time Paths of Total Capital The trend in both steady states is the same, however the levels are di↵erent! What happens to the capital stock over time depends on the parameters at time t = t0 : K AN K AN > gA + gN K AN K AN < gA + gN Intermediate Macroeconomics Motivation The Extended Solow Model Case 1 Graphically There is also a graphical interpretation of how to find out in which case we are: Intermediate Macroeconomics Motivation The Extended Solow Model Case 2 Graphically There is also a graphical interpretation of how to find out in which case we are: Intermediate Macroeconomics Motivation ...
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...Chapter 01 Limits, Alternatives, and Choices Multiple Choice Questions 1. Economics is the study of: A. increasing the level of productive resources so there is maximum output in society. B. increasing the level of productive resources so there is a minimum level of income. C. how people, institutions, and society make choices under conditions of scarcity. D. the efficient use of scarce resources paid for at the minimum level of cost to consumers and businesses. 2. The primary focus of the study of economics is with: A. expanding the production of goods and services. B. equalizing the distribution of consumer income and wealth. C. making the most efficient use of scarce productive resources. D. reallocating resources from consumption to production in the economy. 3. The general concern of economics is with the study of the: A. degree of competition in stock and bond markets in the economy. B. efficient use of limited productive resources to satisfy economic wants. C. issue of equality in the distribution of income and wealth among households. D. budget deficits in the domestic economy and trade deficits in the international economy. 4. Which of the following is not a central focus of the "economic perspective"? A. Scarcity and choice. B. The scientific method. C. Purposeful behavior. D. Marginal analysis. 5. The term scarcity in economics refers to the fact that: A. economic wants are limited and resources are...
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...201: PRINCIPLES OF MACROECONOMICS Fall Term 2015 2:00-3:15 PM Mondays and Wednesdays Room 1090 CASL CRN # 11014 Section 004 Carol Hogan Office Hours: 10:00-10:45 AM 2190 Social Sciences Building Mondays and Wednesdays, 1:00- 313-436-9181 1:45 PM Mondays and Wednesdays, clhogan@umich.edu 5:00-5:45 PM Mondays, and by appointment |ECON 201 - Prin: Macroeconomics | |Together with ECON 202, this course serves to introduce the student to the basic ideas and concepts of modern economic analysis, and applies| |them to current economic problems, policies and issues. The focus of this course is on macroeconomics: income and wealth, employment, and | |prices at the national level in the United States economy. It is recommended that students take ECON 201 before ECON 202. MATH 105 is highly| |recommended but not required. (F,W,S). | |ECON 201 - Prin: Macroeconomics | |Together with ECON 202, this course serves to introduce the student to the basic ideas and concepts of modern economic analysis, and applies| |them to current economic problems, policies and issues. The focus of this course is on macroeconomics: income and wealth...
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...Chapter 01 Limits, Alternatives, and Choices Multiple Choice Questions 1. Economics is the study of: A. increasing the level of productive resources so there is maximum output in society. B. increasing the level of productive resources so there is a minimum level of income. C. how people, institutions, and society make choices under conditions of scarcity. D. the efficient use of scarce resources paid for at the minimum level of cost to consumers and businesses. 2. The primary focus of the study of economics is with: A. expanding the production of goods and services. B. equalizing the distribution of consumer income and wealth. C. making the most efficient use of scarce productive resources. D. reallocating resources from consumption to production in the economy. 3. The general concern of economics is with the study of the: A. degree of competition in stock and bond markets in the economy. B. efficient use of limited productive resources to satisfy economic wants. C. issue of equality in the distribution of income and wealth among households. D. budget deficits in the domestic economy and trade deficits in the international economy. 4. Which of the following is not a central focus of the "economic perspective"? A. Scarcity and choice. B. The scientific method. C. Purposeful behavior. D. Marginal analysis. 5. The term scarcity in economics refers to the fact that: A. economic wants are limited and resources are...
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...Chapter 01 Limits, Alternatives, and Choices Multiple Choice Questions 1. Economics is the study of: A. increasing the level of productive resources so there is maximum output in society. B. increasing the level of productive resources so there is a minimum level of income. C. how people, institutions, and society make choices under conditions of scarcity. D. the efficient use of scarce resources paid for at the minimum level of cost to consumers and businesses. 2. The primary focus of the study of economics is with: A. expanding the production of goods and services. B. equalizing the distribution of consumer income and wealth. C. making the most efficient use of scarce productive resources. D. reallocating resources from consumption to production in the economy. 3. The general concern of economics is with the study of the: A. degree of competition in stock and bond markets in the economy. B. efficient use of limited productive resources to satisfy economic wants. C. issue of equality in the distribution of income and wealth among households. D. budget deficits in the domestic economy and trade deficits in the international economy. 4. Which of the following is not a central focus of the "economic perspective"? A. Scarcity and choice. B. The scientific method. C. Purposeful behavior. D. Marginal analysis. 5. The term scarcity in economics refers to the fact that: A. economic wants are limited and resources are...
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...In economics, demand is an economic principle that describes a consumer's desire, willingness and ability to pay a price for a specific good or service. Demand refers to how much (quantity) of a product or service is desired by buyers. The quantity demanded is the amount of a product people are willing to buy at a certain price; the relationship between price and quantity demanded is known as the demand relationship. The term demand signifies the ability or the willingness to buy a particular commodity at a given point of time. Economists record demand on a demand schedule and plot it on a graph as a demand curve that is usually downward sloping. The downward slope reflects the negative or inverse relationship between price and quantity demanded: as price decreases, quantity demanded increases. In principle, each consumer has a demand curve for any product that he or she is willing and able to buy, and the consumer's demand curve is equal to the marginal utility (benefit) curve. When the demand curves of all consumers are added up horizontally,the result is the market demand curve for that product which also indicates a negative or inverse relationship between the price and quantity demanded. If there are no externalities, the market demand curve is also equal to the social utility (benefit) curve. The demand equation is the mathematical expression of the relationship between the quantity of a good demanded and those factors that affect the willingness and ability of a consumer...
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...College of Economics and Management 85 COLLEGE OF ECONOMICS AND MANAGEMENT Libornio S. Cabanilla, Dean Jose V. Camacho, Jr., Associate Dean Agnes T. Banzon, College Secretary Reynaldo L. Tan, Chair, Dept. of Agribusiness Management Cesar B. Quicoy, Chair, Dept. of Agricultural Economics Amelia L. Bello, Chair, Dept. of Economics The College of Economics and Management (CEM) was formally created in the 996th UP-BOR meeting, February 1987. However, the College traces its roots to the Institute of Agricultural Development and Administration (IADA)which was established in 1975, with three departments – Agricultural Economics (DAE), Economics (DE), and Management (DM), and was elevated to the College of Economics and Management from the merger of IADA with the Agricultural Credit and Cooperative Studies and the Agrarian Reform Institute in 1978. At present, CEM is composed of three departments – the Department of Agricultural Economics, the Department of Economics and the Department of Agribusiness Management. The college sees itself as a center of excellence in undergraduate and graduate instruction, research and extension in economics, agricultural and applied economics, and agribusiness management in Asia. It envisions to be an institution of higher learning that can serve as an active catalyst for economic and social transformation. Its two-fold mission is to produce graduates and future leaders with strong training in economics, agricultural and applied economics, and in agribusiness...
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...Capital…………………………………………………6,7,8. Currency&Inflation……………………………………………………. .9. Hyperinflation…………………………………………………………..10. Demand and Supply…………………………………………………….11. Conclusion………………………………………………………………12 Introduction of Macro-economy It is perhaps mostly for this reason that macroeconomics, the study of these economy-wide phenomena, is so exciting. Macroeconomics is more than just headlines, however; it is a fascinating intellectual adventure. The breadth of issues it covers is evidence enough of its inherent complexity. All the same, we will see that simple economic reasoning can take us a long way. And it is often surprising how well a few simple ideas fit complex situations. Macroeconomics can also be useful. The economic well-being of all consumers, rich or poor, is afected by movements in interest rates, exchange rates, and the rate of inflation. Businesses stand to gain or lose considerable amounts of money when their economic environment changes, regardless of how well they are managed. Being prepared for such changes in fortunes can have considerable value; more generally, it makes us all better citizens able to grasp the complex challenges that our societies face. Macroeconomics is relevant to voters who wonder what their governments are up to, and can also help governments avoid the worst economic crises that have a7icted modern industrial societies in the past century—depressions, when overall economic activity is very far below average, and hyperinflations...
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...Business Environment Rankings Which country is best to do business in? From The Economist Intelligence Unit www.eiu.com Business Environment Rankings Which country is best to do business in? F or all the talk about the potential of emerging markets, developed economies in North America, Western Europe and Asia remain the best places to do business, according to The Economist Intelligence Unit’s latest Business Environment Rankings (BER). Singapore looks set to remain the world’s most investor-friendly location in 2014-18, retaining its number-one spot from the 2009-13 period. Switzerland and Hong Kong also defend their second and third place position. The remainder of the top ten is dominated by North America, Scandinavia and other developed Asian economies. BER rankings Score 2009-13a Global ranking 2009-13 Score 2014-18b Global ranking 2014-18 Singapore 8.56 1 8.65 1 Switzerland 8.41 2 8.52 2 Hong Kong 8.34 3 8.39 3 Canada 8.15 7 8.30 4 Australia 8.18 5 8.29 5 Sweden 8.20 4 8.26 6 USA 8.02 8 8.25 7 New Zealand 7.99 11 8.18 8 Finland 8.16 6 8.18 9 Denmark 8.01 9 8.16 10 Norway 7.89 13 8.01 11 Germany 7.99 10 7.98 12 Chile 7.81 14 7.89 13 Taiwan 7.68 16 7.85 14 Ireland 7.30 20 7.79 15 Netherlands 7.94 12 7.78 ...
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