Date of Submission
Open Access Senior Thesis
Bachelor of Arts
© 2017 Griffin W Lazarus
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.
Lazarus, Griffin, "Stock Returns and Industrial Production: A Sectoral Analysis" (2017). CMC Senior Theses. 1635.