Testing Arbitrage pricing theory in forecasting stock returns

An applied study of Sample of banks listed in the Iraq Stock Exchange for the period (2004-2019)

An introduction Thesis

To the Council of the College of Administration and Economics – University of Karbala , which is  part of the requirements for obtaining a master’s degree in business administration sciences

BYHatem Kareem Mohammed Al-Gharbawi

Supervised by

Assistant Professor Doctor

Ali Ahmed Fares

Abstract

The current study aims to verify and examine the Arbitrage pricing theory (independent variable) applicable to estimating the rate of returns of shares (dependent variable) in the Iraqi Stock Exchange

To achieve the goal of the thesis, the sample was selected from (6) banks within the banking sector listed in the Iraq Stock Exchange for the period between (2004-2019). As well as the annual data for the following macroeconomic indicators (market index, inflation, GDP, exchange rate, money supply, trade balance and interest rate), the data collected from the annual reports of the Central Bank of Iraq as well as the annual reports of the Iraq Stock Exchange, in addition to In addition to the reports of the Iraqi Securities Commission and the analysis of this data using appropriate statistical and financial means and through (Microsoft Excel) and (SPSS 24) programs. in the Iraqi Stock Exchange

The study recommended encouraging banks to participate in investment operations in the market in order to activate the markets, in addition to that, searching for new factors and testing them in the Iraqi stock market to show the extent of their impact or may have an additional explanatory ability in predicting stock returns.

Keywords: Arbitrage pricing theory, stock returns, financial forecasting.