In this paper, we test a captivating proposition that the innovative (difference) and interactive
terms of macroeconomic variables significantly improve our understanding of the stock return
movements. We revisit a prominent issue on the association of the stock return with macroeconomic
variables such as default risk premium, term structure of interest rates, growth in GDP and inflation
and provide an innovative perspective on the obsolete issue. Using the S&P 500 Industrial Composite
Index, we report that the innovative and interactive terms of the variables appear to be significant
determinants of the stock return. Our findings suggest that other return models take the innovative
and interaction effects into account.
주제어：Stock Return, Macroeconomic Variables, Level Effect, Innovative Effect, Interaction Effect