Add to ORKGThis paper shows that news related to future Gross Domestic Product (GDP) growth 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. A model that includes the information in HML and SMB which is unrelated to this news cannot explain the cross-section of equity returns substantially better than the domestic CAPM. Our tests use US data and cover the period from 1957 to 1998
This paper examines the effects of size, value, profitability, investments, and momentum on the cros...
As the stock market is the barometer of the health of the economy and reflects the expectations of i...
This paper utilizes out-of-sample forecasting experiments to examine whether the yield spread or ret...
Inspired by Vassalou (J Financ Econ 68:47-73, 2003), we investigate the contention that the Fama and...
Inspired by Vassalou (J Financ Econ 68:47-73, 2003), we investigate the contention that the Fama and...
Inspired by Vassalou (J Financ Econ 68:47–73, 2003), we investigate the contention that the Fa...
This paper provides an economic interpretation for the book-to-market (HML) and size (SMB) factors i...
By employing daily data we investigated the relationship between the role of macroeconomic announcem...
This article investigates whether the HML, SMB along with the long-term reversal and the momentum fa...
What is the link between stock returns and news about economic growth? Using consensus forecasts fro...
This paper examines the ability of bond and stock markets to predict subsequent GDP growth over a ra...
This study explores the magnitude of size and value premium in the UK using the various methods of e...
We extend Vassalou (2003) by conditioning the Fama-French model with the same macroeconomic variable...
Also available via the InternetAvailable from British Library Document Supply Centre-DSC:3597.9512(n...
GDP statistics in France are published on a quarterly basis, 30 days after the end of the quarter. I...
This paper examines the effects of size, value, profitability, investments, and momentum on the cros...
As the stock market is the barometer of the health of the economy and reflects the expectations of i...
This paper utilizes out-of-sample forecasting experiments to examine whether the yield spread or ret...
Inspired by Vassalou (J Financ Econ 68:47-73, 2003), we investigate the contention that the Fama and...
Inspired by Vassalou (J Financ Econ 68:47-73, 2003), we investigate the contention that the Fama and...
Inspired by Vassalou (J Financ Econ 68:47–73, 2003), we investigate the contention that the Fa...
This paper provides an economic interpretation for the book-to-market (HML) and size (SMB) factors i...
By employing daily data we investigated the relationship between the role of macroeconomic announcem...
This article investigates whether the HML, SMB along with the long-term reversal and the momentum fa...
What is the link between stock returns and news about economic growth? Using consensus forecasts fro...
This paper examines the ability of bond and stock markets to predict subsequent GDP growth over a ra...
This study explores the magnitude of size and value premium in the UK using the various methods of e...
We extend Vassalou (2003) by conditioning the Fama-French model with the same macroeconomic variable...
Also available via the InternetAvailable from British Library Document Supply Centre-DSC:3597.9512(n...
GDP statistics in France are published on a quarterly basis, 30 days after the end of the quarter. I...
This paper examines the effects of size, value, profitability, investments, and momentum on the cros...
As the stock market is the barometer of the health of the economy and reflects the expectations of i...
This paper utilizes out-of-sample forecasting experiments to examine whether the yield spread or ret...