ECONOMIC DETERMINANTS OF BETA.
Item
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Title
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ECONOMIC DETERMINANTS OF BETA.
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Identifier
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AAI8312381
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identifier
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8312381
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Creator
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RAINISH, ROBERT MICHAEL.
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Contributor
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Christopher Hessel
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Date
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1982
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Language
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English
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Publisher
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City University of New York.
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Subject
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Economics, Finance
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Abstract
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The objective of this dissertation is to test Turnbull's multi-period valuation model. Specifically I test (1) if investor expectations of future cash flows are a function of future economic outcomes, (2) if the expectations of future economic outcomes are the same for market returns and individual security returns, (3) if expectations of economic outcomes are the same for all securities, and (4) if the single index capital asset pricing model is ex-ante efficient.;The empirical testing used the National Bureau of Economic Research's set of leading economic variables, Standard & Poor's 500 Stock Index Returns, and a sample of 45 individual security returns for the time period of 21 years (January, 1955 to December, 1975). The empirical results show that Turnbull's model is correct. Investor expectations are a function of future economic outcomes. Market returns are generated based upon investor expectations of expected future outcomes of profitability, investment, employment, and money and credit. The results show that market returns and security returns are not equally sensitive to economic indicators as one would expect.;The sensitivity to the economic indicators is shown to vary across securities. The results demonstrate that the single index market model is not ex-ante efficient as is usually assumed and thus supports Roll's critique of the methodology used in testing the capital asset pricing model and market efficiency. My results show that either a better single index needs to be formed or a multi-index model as suggested by Turnbull and others is appropriate.
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Type
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dissertation
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Source
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PQT Legacy CUNY.xlsx
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degree
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Ph.D.
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Program
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Business
