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News Related to Future GDP Growth as a Risk Factor in Equity Returns

  • Vassalou, Maria
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    A model that includes a factor that captures news related to future Gross Domestic Product (GDP) growth along with the market factor can explain the cross-section of equity returns about as well as the Fama-French model can. Furthermore, the Fama-French factors HML and SMB appear to contain mainly news related to future GDP growth. When news related to future GDP growth is present in the asset-pricing model, HML and SMB lose their ability to explain the cross-section.

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    Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 3057.

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    Date of creation: Nov 2001
    Date of revision:
    Handle: RePEc:cpr:ceprdp:3057
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