Can book-to-market, size and momentum be risk factors that predict economic growth?

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Can book-to-market, size and momentum be risk factors that predict economic growth?

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Liew, Jimmy
Vassalou, Maria

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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 57 (2000)
Issue (Month): 2 (August)
Pages: 221-245
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Handle: RePEc:eee:jfinec:v:57:y:2000:i:2:p:221-245

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Li, Qing & Vassalou, Maria & Xing, Yuhang, 2001. "An Investment-Growth Asset Pricing Model," CEPR Discussion Papers 3058, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Tano Santos & Pietro Veronesi, 2005. "Cash-Flow Risk, Discount Risk, and the Value Premium," NBER Working Papers 11816, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Ronald J. Balvers & Dayong Huang, 2005. "Productivity-Based Asset Pricing: Theory and Evidence," Working Papers 05-05, Department of Economics, West Virginia University. [Downloadable!]
Other versions:
- Balvers, Ronald J. & Huang, Dayong, 2007. "Productivity-based asset pricing: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 86(2), pages 405-445, November. [Downloadable!] (restricted)
Carlos Alves & Victor Mendes, 2001. "Corporate Governance Policy and Company Performance: The Case of Portugal," FEP Working Papers 112, Universidade do Porto, Faculdade de Economia do Porto. [Downloadable!]
Hui Guo & Robert Savickas & Zijun Wang & Jian Yang, 2006. "Is value premium a proxy for time-varying investment opportunities: some time series evidence," Working Papers 2005-026, Federal Reserve Bank of St. Louis. [Downloadable!]
Daniel, Kent & Hirshleifer, David & Subrahmanyam, Avanidhar, 2005. "Investor Psychology and Tests of Factor Pricing Models," Working Paper Series 2005-26, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
F. Javier De Peña & Carlos Forner-Rodríguez & Germán López-Espinosa, . "Fundamentals and the origin of Fama-French factors," Faculty Working Papers 04/08, School of Economics and Business Administration, University of Navarra. [Downloadable!]
Vassalou, Maria, 2001. "News Related to Future GDP Growth as a Risk Factor in Equity Returns," CEPR Discussion Papers 3057, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

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