Journal of Financial Economics Vol. 68 No. 1 2003
News related to future GDP growth as a risk factor in equity returns
Abstract
A model that includes a factor that captures news related to future Gross Domestic Product (GDP) growth along with the market factor can explain the cross-section of equity returns about as well as the Fama-French model can. Furthermore, the Fama-French factors HML and SMB appear to contain mainly news related to future GDP growth. When news related to future GDP growth is present in the asset-pricing model, HML and SMB lose much of their ability to explain the cross-section.
- DOI
- 10.1016/s0304-405x(02)00248-9
- Volume
- 68
- Issue
- 1
- Pages
- 47-73
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref