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Two\u2010stage least square (2SLS) method is applied to estimate the macro\u2010based multifactor model. It is found that the market premium and the interest rate factors are significantly affecting the industry equity premium of all the nonfinancial sectors. However, there exists a positive effect of other macroeconomic variables such as money supply, foreign direct investment, and industrial production which is different for the different sectors based on its nature of product and services they offered. The industries based on their product development which are linked to particular macroeconomic variables have more effect than others such as increase in money supply which cannot increase the sale of pharmaceutical products until needed. Similarly, an interesting insight reveals that industries producing seasonal goods, e.g., food producing, are not very much affected by macroeconomic variables but the change in seasons and similar results also revealed for tobacco industry.<\/jats:p>","DOI":"10.1155\/2021\/5534856","type":"journal-article","created":{"date-parts":[[2021,4,12]],"date-time":"2021-04-12T18:05:38Z","timestamp":1618250738000},"update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Market Premium and Macroeconomic Factors as Determinants of Industry Premium: Evidence from Emerging Economies"],"prefix":"10.1155","volume":"2021","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-1625-0517","authenticated-orcid":false,"given":"Muhammad","family":"Imran","sequence":"first","affiliation":[]},{"given":"Mengyun","family":"Wu","sequence":"additional","affiliation":[]},{"given":"Linrong","family":"Zhang","sequence":"additional","affiliation":[]},{"given":"Yun","family":"Zhao","sequence":"additional","affiliation":[]},{"given":"Noor","family":"Jehan","sequence":"additional","affiliation":[]},{"ORCID":"https:\/\/orcid.org\/0000-0002-5209-3224","authenticated-orcid":false,"given":"Hee Cheol","family":"Moon","sequence":"additional","affiliation":[]}],"member":"311","published-online":{"date-parts":[[2021,4,12]]},"reference":[{"key":"e_1_2_10_1_2","article-title":"The equity premium in retrospect","author":"Mehra R.","year":"2003","journal-title":"NBER Working Paper, 9525"},{"key":"e_1_2_10_2_2","volume-title":"Equity Risk Premiums (ERP): Determinants, Estimation and Implications\u2013The 2012","author":"Damodaram A.","year":"2012"},{"key":"e_1_2_10_3_2","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2005.01.004"},{"key":"e_1_2_10_4_2","first-page":"7","article-title":"The equity premium puzzle, ambiguity aversion, and institutional quality","author":"Erbas S. 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