Date of Award

Summer 2005

Document Type


Degree Name

Doctor of Philosophy (PhD)


Business Administration-Finance

Committee Director

Mohammad Najand

Committee Member

Kenneth Yung

Committee Member

Larry Filer


This dissertation studies the local and global sources of risk and industries stock returns across national equity markets. We examine several local and global economic risk factors and ask whether and to what extent these risk factors can explain the variation in the industries' stock returns of five countries, namely Canada, Germany, Japan, the U.K., and the U.S. Specifically, the main objective of this dissertation is to find answers for three main questions: First, whether and to what extent do returns on local industries respond to changes in local macroeconomic risk factors? Second, whether and to what extent do returns on local industries respond to changes in global risk factors? Third, is the effect on industry stock returns similar across countries?

We employ a multifactor pricing model to investigate the effects of the local macroeconomic risk factors on industries stock returns in Canada, Germany, Japan, the U.K., and the U.S. The local macroeconomic risk factors used are: industrial production, inflation, changes of expected inflation, term structure, foreign exchange rate, oil prices, in addition to the returns on national equity market portfolio. We also employ a global version of a single factor model to test the effect of global risk factors represented by the world market index on industries stock returns across the previous national markets. We examine returns of five different industries common to each country for which data is available. The industry indices chosen in the study came from the same source, The Global Financial Data that utilizes the same procedure to allocate firms into industry groups in each country, which helps us to match industries across countries. The industries chosen are banking, chemicals, insurance, telecommunication, and utilities.