Are the Fama–French factors proxying news related to GDP growth? The Australian evidence
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Bibliographic InfoArticle provided by Springer in its journal Review of Quantitative Finance and Accounting.
Volume (Year): 33 (2009)
Issue (Month): 2 (August)
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Web page: http://springerlink.metapress.com/link.asp?id=102990
GDP growth; Fama–French model; Asset pricing; G12;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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" The Conditional CAPM and the Cross-Section of Expected Returns,"
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- Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis.
- 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.
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