ADP Employment Report and Stock Returns

Since May 2006, the monthly ADP National Employment Report has presented “estimates of nonfarm private employment…constructed from ADP’s data on payrolls following a procedure similar to that used by the BLS [Bureau of Labor Statistics] to process its monthly survey of Current Employment Statistics into the ‘official’ estimates of establishment employment. The ADP National Employment Report is released, for public use only, two days prior to the Employment Situation.” Does this report affect or predict U.S. stock market returns on the day of release or during the ensuing month? Using ADP report release dates and estimates of total nonfarm employment for April 2006 through May 2011 (62 months) and contemporaneous daily and monthly dividend-adjusted levels of S&P Depository Receipts (SPY), we find that: (more…)