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Dear all,

I have a stupid question and I hope that you can explain to me in a simple terminology. I have attached an article and on page 13/22 of the adope file and says the following:

*The time series of those five factors were then each regressed on the state variables. An economic variable is significantly related to stock movements if and only if it is significantly related to at least one of the five common stock factors. The null hypothesis for each is the restriction across the equations that the five regression coefficients for that variable( one to each of the factor regressions) are jointly zero. The null hypothesis was rejected for the production growth, the term structure, and the risk premium variables.*

I know that they performed factor analysis to find five significant factors, but when choosing the macro-economic variables, they did the above mentioned statment.

Could anyone of you explain to me in common terms..

Sincerly hoping for an answer...

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