Graduation Year

2017

Date of Submission

4-2017

Document Type

Open Access Senior Thesis

Degree Name

Bachelor of Arts

Department

Economics

Reader 1

Marc Weidenmier

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Terms of Use for work posted in Scholarship@Claremont.

Rights Information

© 2017 Griffin W Lazarus

Abstract

This paper analyzes the relationship between stock returns and future industrial production growth rates from 1926-1940. It replicates the work of Fama (1990) and Schwert (1990) with the intent to see if the relationship continues to hold using sector data. Furthermore, this paper focuses on the 1926-1940 sample period to explore how the relationship is affected by the stock market crash of 1929. It is expected that the relation will be weak for the industry sectors experiencing strong growth prior to the crash. The results indicate that the relationship between stock returns and future industrial production growth rates persists on the sectoral level, however, the inclusion of the stock market crash of 1929 undoubtedly weakens the relation, especially for sectors growing rapidly prior to the crash.

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