The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Macroeconomic Factors Do Influence Aggregate Stock Returns
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.
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Cites
FAMA, E. F. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb04636.x · Cited by 5,350
Cited by
Macro variables and international stock return predictability
Rapach, D. E., Wohar, M. E., & Rangvid, J. (2005) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2004.05.004 · Cited by 351
Hanousek, J., Kočenda, E., & Kutan, A. M. (2009) · Journal of Financial Stability · doi:10.1016/j.jfs.2008.01.003 · Cited by 133
Metadata
- Authors
- Flannery, M. J., & Protopapadakis, A. A.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2002-04
- Volume
- 15
- Issue
- 3
- Pages
- 751-782
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W3094392984
- Cited by
- 825
- References
- 1
- FWCI
- 20.77
- Type
- journal article
- Language
- en
- Open access
- closed
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- Flannery, M. J., & Protopapadakis, A. A. (2002). Macroeconomic Factors Do Influence Aggregate Stock Returns. Review of Financial Studies. https://doi.org/10.1093/rfs/15.3.751
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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