ECONOMIC FORCES AND THE STOCK MARKET

@inproceedings{Chen1986ECONOMICFA,
  title={ECONOMIC FORCES AND THE STOCK MARKET},
  author={Nai-fu Chen and Richard Roll and Stephen A. Ross},
  year={1986}
}
  • Nai-fu Chen, Richard Roll, Stephen A. Ross
  • Published 1986
  • Economics
  • This paper tests whether innovations in macroeconomic variables are risks that are rewarded in the stock market. Financial theory suggests that the following macroeconomic variables should systematically affect stock market returns: the spread between long and short interest rates, expected and unexpected inflation, industrial production, and the spread between high- and low-grade bonds. We find that these sources of risk are significantly priced. Furthermore, neither the market portfolio nor… CONTINUE READING

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