Do U.S. business applications, based on Employer Identification Number (EIN) applications associated with new businesses, predict future economic activity and therefore stock market returns? To investigate, we relate changes in both seasonally adjusted (SA) and non-seasonally adjusted (NSA) business applications to S&P 500 Index (SP500) returns at monthly and annual frequencies. In case the relationships are non-linear, we also look at average SP500 returns for negative/positive and extreme changes in business applications. Monthly business application data are released 11-12 days after the end of the observed month. Using monthly SA and NSA business application counts and contemporaneous SP500 levels during July 2004 (limited by the business applications series) through June 2026, we find that:
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