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

Author

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  • Annette Nguyen

    ()

  • Robert Faff

    ()

  • Philip Gharghori

    ()

Abstract

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Suggested Citation

  • Annette Nguyen & Robert Faff & Philip Gharghori, 2009. "Are the Fama–French factors proxying news related to GDP growth? The Australian evidence," Review of Quantitative Finance and Accounting, Springer, vol. 33(2), pages 141-158, August.
    • Handle: RePEc:kap:rqfnac:v:33:y:2009:i:2:p:141-158
    DOI: 10.1007/s11156-009-0137-8
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    Citations

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    Cited by:

    1. 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.
    2. repec:bla:finmgt:v:45:y:2016:i:4:p:809-844 is not listed on IDEAS
    3. Mikael C. Bergbrant & Patrick J. Kelly, 2016. "Macroeconomic Expectations and the Size, Value, and Momentum Factors," Financial Management, Financial Management Association International, vol. 45(4), pages 809-844, December.
    4. 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.
    5. 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.

    More about this item

    Keywords

    GDP growth; Fama–French model; Asset pricing; G12;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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