文章基本信息

标题：Risk Factors and Industry Stock Returns: an Empirical Examination of the UAE and USA Stock Markets
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作者：Mariam Ali Alyammahi ; Siti Norbaya Yahaya ; Nusaibah Mansor 等
期刊名称：Academy of Accounting and Financial Studies Journal
印刷版ISSN：1096-3685
出版年度：2021
卷号：25
期号：3
页码：1-14
语种：English
出版社：The DreamCatchers Group, LLC
摘要：This study attempts to test the effects of several risk factors on industries’ stock returns in UAE and USA by employing a multifactor pricing model. This study addresses three main questions. First, whether and to what extent are returns on local industries affected by changes in local macroeconomic risk factors? Second, whether and to what extent are there similarities and differences in different industries? Third, whether and to what extent are there similarities and differences in different markets? We examine returns of seven industries: banking, consumer staples, industrial, insurance, real estates, telecommunication, and transportation for which data is available. Empirical results indicate different relationships between macroeconomic risk factors and industries’ stock returns in each market. The results also show that some industries show more differences than others between the two markets in their stock reactions to local macroeconomic risk factors. However, all the industries in the two markets show strong reactions to local market portfolios.
关键词：Economic Risk Factors;Returns;Global Risk;Multifactor Pricing Mode