The purpose of this paper is to consider the economic information content within several popular stock market factors and to the extent to which their movements are both explained by economic variables and can explain future output growth.,Using US stock portfolios from 1964 to 2019, the authors undertake three related exercises: whether a set of common factors contain independent predictive ability for stock returns, what economic and market variables explain movements in the factors and whether stock market factors have predictive power for future output growth.,The results show that several of the considered factors do not contain independent information for stock returns. Further, most of these factors are neither explained by economic conditions nor they provide any predictive power for future output growth. Thus, they appear to contain very little economic content. However, the results suggest that the impact of these factors is more prominent with higher macroeconomic risk (contractionary regime).,The stock market factors are more likely to reflect existing market conditions and exhibit a weaker relation with economic conditions and do not act as a window on future behavior.,Fama and French three-factor model still have better explanations for stock returns and economic information more than any other models.,This paper contributes to the literature by examining whether a selection of factors provides unique information when modelling stock returns data. It also investigates what variables can predict movements in the stock market factors. Third, it examines whether the factors exhibit a link with subsequent economic output. This should establish whether the stock market factors contain useful information for stock returns and the macroeconomy or whether the significance of the factor is a result of chance. The results in this paper should advance our understanding of asset price movement and the links between the macroeconomy and financial markets and, thus, be of interest to academics, investors and policy-makers.

中文翻译：

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美国股市因素的信息含量

本文的目的是考虑几个受欢迎的股票市场因素中的经济信息内容，并在一定程度上用经济变量解释其走势，并可以解释未来的产出增长。使用1964年至2019年的美国股票组合，作者进行了三个相关的练习：一组共同因素是否包含对股票收益的独立预测能力，哪些经济和市场变量解释了这些因素的变动，以及股票市场因素是否对未来产出增长具有预测能力。所考虑的因素不包含有关股票收益的独立信息。此外，这些因素中的大多数既不能用经济条件来解释，也不能为未来的产出增长提供任何预测能力。因此，它们似乎包含很少的经济内容。但是，结果表明，随着较高的宏观经济风险（收缩制度），这些因素的影响更加显着。股市因素更可能反映现有的市场状况，并且与经济状况的关系较弱，并且不充当关于未来行为的窗口，Fama和法国的三因素模型仍然比其他任何模型都对股票收益和经济信息有更好的解释。本文通过检查在建模股票收益时是否选择了因素来提供独特信息，从而为文献做出了贡献数据。它还研究了哪些变量可以预测股市因素的变动。第三，研究了这些因素是否与随后的经济产出有关。这应该确定股票市场因素是否包含有关股票回报和宏观经济的有用信息，或者该因素的重要性是否是偶然的结果。本文的结果应增进我们对资产价格变动以及宏观经济与金融市场之间联系的理解，从而引起学者，投资者和政策制定者的兴趣。