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…
# Economic Forces and the Stock Market
> OpenAlex Metadata Hub · https://openalex.org/W2015800048
## Bibliographic
- **DOI:** 10.1086/296344
- **Year:** 1986
- **Citations:** 5380
- **Open Access:** No (closed)
- **License:** —
- **Source:** https://doi.org/10.1086/296344
## Authors
- Nai‐Fu Chen
- Richard Roll
- Stephen A. Ross
## 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.
## Keywords
Stock market, Economics, Business, Financial economics, Geography
## Concepts
- Stock market
- Economics
- Business
- Financial economics
- Geography
- Archaeology
- Context (archaeology)
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*Metadata only — full text not imported unless Open Access license permits.*
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Tóm lược học thuật (đã diễn giải): 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.
Phần Trading Insights bên dưới nối nghiên cứu với Forex, vàng, USD, lãi suất và risk regime — để bạn đưa vào journal và playbook.
Metadata DOI/OA chỉ là rail tham chiếu; nội dung chính là summary, takeaways và ứng dụng thị trường do Content Factory sinh.
1. This paper tests whether innovations in macroeconomic variables are risks that are rewarded in the stock market.
2. 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.
3. We find that these sources of risk are significantly priced.
4. Furthermore, neither the market portfolio nor aggregate consumption are priced separately.
5. We also find that oil price risk is not separately rewarded in the stock market.
Trader nên nối luận điểm policy/lãi suất trong tài liệu với bias trung hạn của USD và các cặp major — đặc biệt quanh FOMC / dữ liệu CPI.
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