Can Book-to-Market, Size and Momentum Be Risk Factors that Predict Economic Growth?
AbstractWe test whether the profitability of HML, SMB, and WML can be linked to future GDP growth. Using data from ten countries, we find that HML and SMB contain significant information about future GDP growth. This information is to a large degree independent of that in the market factor. Even in the presence of popular business cycle variables, HML and SMB retain their ability to predict future economic growth in some countries. Our results support a risk-based explanation for the performance of HML and SMB. Little evidence was found to support such an explanation in the case of WML.
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Bibliographic InfoPaper provided by Columbia - Graduate School of Business in its series Papers with number 99-11.
Length: 30 pages
Date of creation: 1999
Date of revision:
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Postal: U.S.A.; COLUMBIA UNIVERSITY, GRADUATE SCHOOL OF BUSINESS, PAINE WEBBER , New York, NY 10027 U.S.A
Phone: (212) 854-5553
Web page: http://www.columbia.edu/cu/business/
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ECONOMIC GROWTH ; MARKET ; RISK;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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- John H. Cochrane, 1999.
"New Facts in Finance,"
NBER Working Papers
7169, National Bureau of Economic Research, Inc.
- Locarno, Alberto & Massa, Massimo, 2005. "Monetary Policy Uncertainty and the Stock Market," CEPR Discussion Papers 4828, C.E.P.R. Discussion Papers.
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