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Lecturas de Economía

 ISSN 0120-2596

KRISTJANPOLLER, Werner    MORALES, Mauricio. Arbitrage Pricing Theory Applied to the Chilean Stock Market. []. , 74, pp.37-59. ISSN 0120-2596.

Arbitrage pricing theory states that the expected return of an asset portfolio is related to factors characterizing the economy and could be associated to macroeconomic variables. In this paper, we consider equity traded in the Chilean stock market to empirically contrast the APT in its macroeconomic variant. We find evidence regarding the statistically significant impact of shocks in the monthly index of economic activity, in the consumer price index and in copper price on estimations of stock returns. In contrast, no evidence is found on the relevance of variations in the stock market index, short-term and long-term interest rates and oil prices for stock returns.

: Asset pricing theory; stock exchange; market efficiency.

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