Du, Ding; Denning, Karen; Zhao, Xiaobing - In: Journal of Economics and Business 64 (2012) 5, pp. 323-337
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...