Are the Fama–French factors proxying news related to GDP growth? The Australian evidence
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- Aníbal Báez-Díaz & Pervaiz Alam, 2013. "Tax conformity of earnings and the pricing of accruals," Review of Quantitative Finance and Accounting, Springer, vol. 40(3), pages 509-538, April.
- repec:bla:finmgt:v:45:y:2016:i:4:p:809-844 is not listed on IDEAS
- Mikael C. Bergbrant & Patrick J. Kelly, 2016.
"Macroeconomic Expectations and the Size, Value, and Momentum Factors,"
Financial Management Association International, vol. 45(4), pages 809-844, December.
- Mikael C. Bergbrant & Patrick J. Kelly, 2015. "Macroeconomic Expectations and the Size, Value and Momentum Factors," Working Papers w0214, Center for Economic and Financial Research (CEFIR).
- Heaney, Richard & Koh, SzeKee & Lan, Yihui, 2016. "Australian firm characteristics and the cross-section variation in equity returns," Pacific-Basin Finance Journal, Elsevier, vol. 37(C), pages 104-115.
- Docherty, Paul & Chan, Howard & Easton, Steve, 2013. "Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 107-124.
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KeywordsGDP growth; Fama–French model; Asset pricing; G12;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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