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cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We …
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The Arbitrage Pricing Theory (APT) propounded by Ross in 1976 argued for a variety of macro economic variables (sources of systematic risk) in explaining stock returns. In the same vein, this paper examines the relationship between macroeconomic variables (GDP, inflation, interest rate, exchange...
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