https://www.researchgate.net/publication/272162558_The_Effects_of_Macroeconomic_Factors_on_the_London_Stock_Returns_A_Sectoral_Approach

The objective of this paper is to investigate the performance of the Arbitrage Pricing Theory (APT) in London Stock Exchange for the period of 1980-1993 as monthly. The study develops seven prespecified macroeconomic variables. The term structure of interest rate, the risk premium, the exchange rate, the money supply and unanticipated inflation are similar to those derived in Chen, Roll and Ross (1986). This study extends the approach of Chen, Roll and Ross, by adding industry specific variables, such as sectoral dividend yield and sectoral unexpected production. Using OLS technique, we have demonstrated that there are some big differences among industries. Before interpreting the OLS results, the serial correlation problem is discussed by using Durbin – Waltson Statistics. D-W statistics show that there is no evidence for positive or negative serial correlation.