Pana, Faculty Advisor, Elisabeth

Sloan, Cory

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Illinois Wesleyan UniversityDigital Commons @ IWUJohn Wesley Powell Student ResearchConference 2012, 23rd Annual JWP ConferenceApr 14th, 10:00 AM - 11:00 AMDeterminants of Dow Jones ReturnsCory SloanIllinois Wesleyan UniversityElisabeth Pana, Faculty AdvisorIllinois Wesleyan UniversityFollow this and additional works at: http://digitalcommons.iwu.edu/jwprcPart of the Business Administration, Management, and Operations CommonsThis Event is brought to you for free and open access by The Ames Library, the Andrew W. Mellon Center for Curricular and FacultyDevelopment, the Office of the Provost and the Office of the President. It has been accepted for inclusion in Digital Commons @ IWU bythe faculty at Illinois Wesleyan University. For more information, please contact digitalcommons@iwu.edu.©Copyright is owned by the author of this document.Cory Sloan and Elisabeth Pana, Faculty Advisor, "Determinants of Dow Jones Returns" (April 14, 2012). John WesleyPowell Student Research Conference. Paper 1.http://digitalcommons.iwu.edu/jwprc/2012/oralpres2/1THE JOHN WESLEY POWELL STUDENT RESEARCH CONFERENCE – APRIL 2012    Oral Presentation  O2.1   DETERMINANTS OF DOW JONES RETURNS    Cory Sloan and Elisabeta Pana* Business Administration Department, Illinois Wesleyan University    As of 2010, there was $14 trillion invested in the New York Stock Exchange (NYSE) and $55 trillion invested in stock markets worldwide. In this study, we use the Arbitrage Pricing Theory (APT) to identify the main determinants of the Dow Jones returns for the period 1990-2011. We test several hypotheses on the relationship between index specific variables such as Dividend Yield, Earnings Yield, Book-Market and the index returns. We also document the relationship between several macroeconomic factors including T-bill rate, Default Spread, Term Spread, Unemployment and Inflation and index returns. Our results indicate a significant relationship between Earnings Yield, Unemployment, Inflation, Term Spread, T-bill rate and the index returns.   .     

Determinants of Dow Jones Returns

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Determinants of Dow Jones Returns

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