Macroeconomic FactorsDoInfluence Aggregate Stock Returns
发现股票回报与通胀和货币增长显著相关，并利用GARCH模型识别出六个影响回报的宏观因子，包括三个名义变量和三个实际变量。
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.