News Related to Future GDP Growth as a Risk Factor in Equity Returns
39 Pages Posted: 30 Nov 2001
There are 2 versions of this paper
News Related to Future GDP Growth as a Risk Factor in Equity Returns
Date Written: November 2001
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 their ability to explain the cross-section.
Keywords: Asset pricing, news, future GDP, GMM
JEL Classification: G12
Suggested Citation: Suggested Citation
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