Reliance on stock market sector indexes for investment makes it essential to understand how various sectors behave relative to the market. Of particular importance is whether these relationships have changed over time. This paper examines the risk/return characteristics of five S&P sector...

This research is concerned with the transmission of shocks among fundamental state variables such as the stance of monetary policy, risk premia, and real output, as well as the S&P stock market index. The paper employs the newly developed technique of generalized impulse response analysis (Koop,...