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Influence of Macroeconomic Factors on the Performance of Sector Stock Indices

Steffen, Hauke LU and Putyinceva, Kszenia LU (2016) NEKN02 20161
Department of Economics
Abstract
The present paper aims to analyze the impact of eleven macroeconomic factors and the one-month lagged stock return on the performance of ten sectors within the United States. The set of potential factors is based on previous research as well as published methodologies of credit rating agencies. It includes the one-month lagged stock return, earnings per capita, consumer price index, private consumption, unemployment rate, labor costs, producer price index, oil price, gross domestic product, GDP deflator, interest rate and exchange rate. The assessed sectors are chosen in accordance to the Global Industrial Classification Standard (GICS) classification.

The results show that earnings per capita, consumer price index, private consumption,... (More)
The present paper aims to analyze the impact of eleven macroeconomic factors and the one-month lagged stock return on the performance of ten sectors within the United States. The set of potential factors is based on previous research as well as published methodologies of credit rating agencies. It includes the one-month lagged stock return, earnings per capita, consumer price index, private consumption, unemployment rate, labor costs, producer price index, oil price, gross domestic product, GDP deflator, interest rate and exchange rate. The assessed sectors are chosen in accordance to the Global Industrial Classification Standard (GICS) classification.

The results show that earnings per capita, consumer price index, private consumption, unemployment rate, producer price index, oil price, gross domestic product and exchange rate have a significant impact on at least one of the sectors, whereby earnings per capita is significant in eight sector models. Concluding, the estimated models can be used as a foundation for enhancing the transparency of credit rating agencies and for future research on the topic. (Less)
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author
Steffen, Hauke LU and Putyinceva, Kszenia LU
supervisor
organization
course
NEKN02 20161
year
type
H1 - Master's Degree (One Year)
subject
keywords
Credit Rating, Industry Risk, Macroeconomics
language
English
id
8877380
date added to LUP
2016-06-13 14:13:37
date last changed
2016-06-13 14:13:37
@misc{8877380,
  abstract     = {The present paper aims to analyze the impact of eleven macroeconomic factors and the one-month lagged stock return on the performance of ten sectors within the United States. The set of potential factors is based on previous research as well as published methodologies of credit rating agencies. It includes the one-month lagged stock return, earnings per capita, consumer price index, private consumption, unemployment rate, labor costs, producer price index, oil price, gross domestic product, GDP deflator, interest rate and exchange rate. The assessed sectors are chosen in accordance to the Global Industrial Classification Standard (GICS) classification.

The results show that earnings per capita, consumer price index, private consumption, unemployment rate, producer price index, oil price, gross domestic product and exchange rate have a significant impact on at least one of the sectors, whereby earnings per capita is significant in eight sector models. Concluding, the estimated models can be used as a foundation for enhancing the transparency of credit rating agencies and for future research on the topic.},
  author       = {Steffen, Hauke and Putyinceva, Kszenia},
  keyword      = {Credit Rating,Industry Risk,Macroeconomics},
  language     = {eng},
  note         = {Student Paper},
  title        = {Influence of Macroeconomic Factors on the Performance of Sector Stock Indices},
  year         = {2016},
}