In this paper we examine the impact of several local and global risk factors on the stock returns of S&P 500 industries' indices by applying a multifactor arbitrage pricing model. The local macroeconomic factors are industrial production, inflation, changes of expected inflation, term structure,...

This study examines the effect of environmental liabilities on risk assessment by investigating whether the markets consider these liabilities a form of corporate debt in the assessment of the firm's risk. A model developed by Rubinstein (1973) and further expanded and operationalised by...

In this paper we examine the impact of several local and global risk factors on the stock returns of S&P 500 industries' indices by applying a multifactor arbitrage pricing model. The local macroeconomic factors are industrial production, inflation, changes of expected inflation, term structure,...