Stock Returns and Real Activity: A Century of Evidence / G. William Schwert.

Format:

Book

Author/Creator:

Schwert, G. William.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w3296.

NBER working paper series no. w3296

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Stock Returns and Real Activity

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1990.

Summary:

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 1889-1918, 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.

Notes:

Print version record

March 1990.