%0 Journal Article %1 chen1986economic %A Chen, Nai-Fu %A Roll, Richard %A Ross, Stephen A. %D 1986 %J The Journal of Business %K apt factor-empirical-test %N 3 %P 383-403 %T Economic Forces and the Stock Market %U http://www.jstor.org/stable/2352710 %V 59 %X 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 lowgrade bonds. We find that these sources of rsk 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.

@article{chen1986economic, 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 lowgrade bonds. We find that these sources of rsk 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.}, added-at = {2019-02-26T16:01:18.000+0100}, author = {Chen, Nai-Fu and Roll, Richard and Ross, Stephen A.}, biburl = {https://www.bibsonomy.org/bibtex/266767d94b43e8c52d2fecab5856d827a/antoinefalck}, interhash = {0db53b72197f2505fd23c1eb38cdd0d5}, intrahash = {66767d94b43e8c52d2fecab5856d827a}, journal = {The Journal of Business}, keywords = {apt factor-empirical-test}, month = jul, number = 3, pages = {383-403}, timestamp = {2019-03-06T20:46:52.000+0100}, title = {Economic Forces and the Stock Market}, url = {http://www.jstor.org/stable/2352710}, volume = 59, year = 1986 }