This thesis is an investigation into the relationship that exists between macroeconomic variables and the pricing of common stock under trending market conditions. By introducing a dichotomous independent variable as a way of distinguishing between periods of rising and falling thereby attaching an additional expected premium to each of five accepted sources of macroeconomic risk for participation in ‘Bear’ markets. 228 observations of the fourteen industry sub-groupings of former TSE 300 were examined separately. The ultimate results were obtained using the Arbitrage Pricing Theory (APT) as the model to obtain factor exposures. The results show that there is no significant relationship between market trend and the pricing of common stock when the APT is applied. The final recommendation is that more research is needed.
| Identifer | oai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:UNB.1882/49 |
| Date | January 2003 |
| Creators | Fodor, Bryan D. |
| Contributors | Otuteye, E. |
| Publisher | Department of Business Administration, University of New Brunswick |
| Source Sets | Library and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada |
| Language | English |
| Detected Language | English |
| Type | Thesis or Dissertation |
| Format | 105912 bytes, 85322 bytes, 70911 bytes, 415152 bytes, text/html, image/jpeg, application/pdf |
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