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Are the Fama–French factors proxying news related to GDP growth? The Australian evidence

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Author Info
Annette Nguyen ()
Robert Faff ()
Philip Gharghori ()

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Abstract

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File URL: http://hdl.handle.net/10.1007/s11156-009-0137-8
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Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

Volume (Year): 33 (2009)
Issue (Month): 2 (August)
Pages: 141-158
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Handle: RePEc:kap:rqfnac:v:33:y:2009:i:2:p:141-158

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Web page: http://springerlink.metapress.com/link.asp?id=102990

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Related research
Keywords: GDP growth; Fama–French model; Asset pricing; G12;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February. [Downloadable!] (restricted)
  2. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September. [Downloadable!] (restricted)
  3. Connor, Gregory & Korajczyk, Robert A., 1988. "Risk and return in an equilibrium APT : Application of a new test methodology," Journal of Financial Economics, Elsevier, vol. 21(2), pages 255-289, September. [Downloadable!] (restricted)
  4. Lamont, Owen A., 2001. "Economic tracking portfolios," Journal of Econometrics, Elsevier, vol. 105(1), pages 161-184, November. [Downloadable!] (restricted)
  5. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis. [Downloadable!]
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  6. Maria Vassalou & Yuhang Xing, 2004. "Default Risk in Equity Returns," Journal of Finance, American Finance Association, vol. 59(2), pages 831-868, 04. [Downloadable!] (restricted)
  7. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March. [Downloadable!] (restricted)
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This page was last updated on 2009-11-12.

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