English, Article, Journal or magazine article edition: Stock Returns and Real Activity: A Century of Evidence G. William Schwert

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Bookmark: http://trove.nla.gov.au/version/139870
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Stock Returns and Real Activity: A Century of Evidence
Author
  • G. William Schwert
Physical Description
  • preprint
Notes
  • This paper analyzes the relation between real stock returns and real activity from 1889-1988. It replicates Fama's (1990) results for the 1953-87 period using an additional 65 years of data. It also compares two measures of industrial production in the tests: (1) the series produced by Babson for 18891918, spliced with the Federal Reserve Board index of industrial production for 1919-1988, and (2) the new Miron and Romer (1989) index spliced with the Fed index in 1941. Fama's findings are robust for a much longer period -- future production growth rates explain a large fraction of the variation in stock returns. The new Miron-Romer measure of industrial production is less closely related to stock price movements than the older Babson and Federal Reserve Board measures.
  • RePEc:nbr:nberwo:3296
Language
  • English
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