Kumar, V and Ramaswami, S N and Srivastava, R K
(2000)
A Model to Explain Shareholder Returns: Marketing Implications.
Journal of Business Research, 50 (2).
pp. 157-167.
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Abstract
This study attempts to lend empirical evidence to the relevance of the arbitrate pricing theory in providing economic interpretation to stock market factors. A multistage model to explain the stock returns of a representative set of U.S. companies is developed. Monthly returns data for individual securities are obtained and the cross-sectional interdependencies between securities are identified. The returns of the securities are found to be related to at least three, and possibly four, factors. The hypotheses related these factors to broad economic aggregates such as cost and supply of money, in addition to the market return index. The presence of idiosyncratic industry effect in the market is also demonstrated. The replication of the analysis with another sample from a different time period yields similar results. Marketing implications are drawn based on the findings of this study.
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