Macroeconomic FactorsDoInfluence Aggregate Stock Returns

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ID: 302588
2002
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Abstract
Stock market returns are significantly correlated with inflation and money growth. The impact of real macroeconomic variables on aggregate equity returns has been difficult to establish, perhaps because their effects are neither linear nor time invariant. We estimate a GARCH model of daily equity returns, where realized returns and their conditional volatility depend on 17 macro series' announcements. We find six candidates for priced factors: three nominal (CPI, PPI, and a Monetary Aggregate) and three real (Balance of Trade, Employment Report, and Housing Starts). Popular measures of overall economic activity, such as Industrial Production or GNP are not represented.
Reference Key
openalex_W3094392984 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Mark J. Flannery, Aris Protopapadakis
Journal review of financial studies
Year 2002
DOI
10.1093/rfs/15.3.751
URL
https://doi.org/10.1093/rfs/15.3.751
Keywords Keywords not found

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