ADP Employment Report and Stock Returns

Since January 2010, the ADP National Employment Report, in collaboration with the Stanford Digital Economy Lab, has published a monthly estimate of U.S. nonfarm private sector employment using actual payroll data. “The ADP National Employment Report is an independent and high-frequency view of the private-sector labor market based on the aggregated and anonymized payroll data of more than 26 million U.S. employees.” Do ADP estimates usefully predict U.S. stock market returns at the monthly release frequency? To investigate, we relate monthly changes in raw ADP employment estimates and in seasonally adjusted ADP employment estimates to monthly SPDR S&P 500 ETF (SPY) total returns. Using the specified monthly data during January 2010 (limited by ADP data) through August 2025, we find that:

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