With the recent increase in research on the stock market, the relationship between changes in macroeconomic variables and stock returns has become a subject of considerable interest. This study aims to derive macroeconomic common factors that affect stock returns in Korea and to determine, through interpretation of these factors, whether it is possible to earn returns exceeding the market expected rate of return. To this end, the Arbitrage Pricing Model (APM), which has been extensively tested since the late 1980s, was applied to the Korean context. However, since the traditional Arbitrage Pricing Model does not reveal the specific meaning of common factors, macroeconomic variables that do not have high correlations with one another were selected under conditions consistent with the APM's assumptions, and common factors were derived through statistical processing of these variables. The investigation of how these derived common factors affect stock return determination using statistical data spanning the past 15 years revealed that excess changes in exchange rates, excess changes in crude oil prices, excess changes in industrial production, unexpected changes in risk premium, and excess changes in money supply were derived as macroeconomic common factors, and that it was possible to earn stock investment returns exceeding the market expected rate of return using these five common factors.