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Do macroeconomic factors affect U.S. stock market returns?

Fjeldberg, Anders; Ruud, Jan Einar
Master thesis
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http://hdl.handle.net/11250/2577810
Issue date
2018
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  • Master of Science [835]
Abstract
Macroeconomic factors and their influence on stock returns is a widely discussed

topic in both previous and recent academic literature. In this paper, we examine

whether macroeconomic factors affect U.S. stock market returns or their

conditional volatilities. We approach this by estimating an EGARCH model of

monthly stock returns, where returns and their conditional volatilities depend on

different macroeconomic factors` changes. This analysis successfully finds three

candidates (CPI, IP, and M1) affecting the level of returns and two candidates

(GDP and M1) affecting the conditional volatility of those returns. The wellknown

measure for unemployment (UNEMP) is not represented as a potential

candidate.
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Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018
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Handelshøyskolen BI

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