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Real aggregate activity and stock returns: Working paper series--12-07

Du, Ding and Denning, Karen and Zhao, Xiaobing (2012) Real aggregate activity and stock returns: Working paper series--12-07. Working Paper. NAU W.A. Franke College of Business.


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The notion that real aggregate activity exerts important influence on stock returns has strong theoretical appeal but weak empirical support. We argue in this paper that the lack of empirical reaction to macro news might be at least partly due to the usual focus on macro variables, which are noisy measures of real aggregate activity or the common factor. To test our conjecture, we focus on the Chicago Fed National Activity Index (CFNAI-MA3), a single summary measure of the common factor in 85 macro variables. Our main finding is that the news component of this index does affect stock returns. The effects show up at the market level as well as at the portfolio level.

Item Type: Monograph (Working Paper)
Publisher’s Statement: Copyright, where appropriate, is held by the author.
ID number or DOI: 12-07
Keywords: Working paper, Real aggregate activity, Chicago Fed National Activity Index, Stock returns
Subjects: H Social Sciences > HG Finance
NAU Depositing Author Academic Status: Faculty/Staff
Department/Unit: The W.A. Franke College of Business
Date Deposited: 15 Oct 2015 21:40
URI: http://openknowledge.nau.edu/id/eprint/1468

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