Economic Forces and the Stock Market Revisited

Posted: 22 Feb 2006

See all articles by Jay A. Shanken

Jay A. Shanken

Emory University - Goizueta Business School; National Bureau of Economic Research (NBER)

Mark Weinstein

University of Southern California - Marshall School of Business - Finance and Business Economics Department; University of Southern California - Gould School of Law

Abstract

The pricing of the Chen, Roll, and Ross (CRR) macrovariables is re-examined and found to be surprisingly sensitive to reasonable alternative procedures for generating size portfolio returns and estimating their betas. These methods include the full-period post-ranking return approach used in many recent studies. Strong evidence of pricing is obtained only for their industrial production growth factor and, in another contrast, for the VW market index. In particular, the corporate-government bond return spread, an important factor in CRR, is insignificantly negative for the 1958-1983 period, corroborating the cross-sectional regression results.

Suggested Citation

Shanken, Jay A. and Weinstein, Mark Ira, Economic Forces and the Stock Market Revisited. Journal of Empirical Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=882857

Jay A. Shanken (Contact Author)

Emory University - Goizueta Business School ( email )

1300 Clifton Road
Atlanta, GA 30322-2722
United States
404-727-4772 (Phone)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
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Mark Ira Weinstein

University of Southern California - Marshall School of Business - Finance and Business Economics Department ( email )

Marshall School of Business
Los Angeles, CA 90089
United States
213-740-6499 (Phone)
213-740-6650 (Fax)

University of Southern California - Gould School of Law

699 Exposition Boulevard
Los Angeles, CA 90089
United States

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