Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If you need an accessible version of this item please contact JSTOR User Support

Economic Forces and the Stock Market

Nai-Fu Chen, Richard Roll and Stephen A. Ross
The Journal of Business
Vol. 59, No. 3 (Jul., 1986), pp. 383-403
Stable URL: http://www.jstor.org/stable/2352710
Page Count: 21
  • Read Online (Free)
  • Download ($14.00)
  • Subscribe ($19.50)
  • Cite this Item
If you need an accessible version of this item please contact JSTOR User Support
Economic Forces and the Stock Market
Preview not available

Abstract

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 aggregate consumption are priced separately. We also find that oil price risk is not separately rewarded in the stock market.

Page Thumbnails

  • Thumbnail: Page 
383
    383
  • Thumbnail: Page 
384
    384
  • Thumbnail: Page 
385
    385
  • Thumbnail: Page 
386
    386
  • Thumbnail: Page 
387
    387
  • Thumbnail: Page 
388
    388
  • Thumbnail: Page 
389
    389
  • Thumbnail: Page 
390
    390
  • Thumbnail: Page 
391
    391
  • Thumbnail: Page 
392
    392
  • Thumbnail: Page 
393
    393
  • Thumbnail: Page 
394
    394
  • Thumbnail: Page 
395
    395
  • Thumbnail: Page 
396
    396
  • Thumbnail: Page 
397
    397
  • Thumbnail: Page 
398
    398
  • Thumbnail: Page 
399
    399
  • Thumbnail: Page 
400
    400
  • Thumbnail: Page 
401
    401
  • Thumbnail: Page 
402
    402
  • Thumbnail: Page 
403
    403