News related to future GDP growth as a risk factor in equity returns

• 成果类型: Article
• 署名作者: Vassalou, M
• 署名单位: Columbia University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(02)00248-9
• 发表日期: 2003
• 页码: 47-73
• 关键词: Asset pricing; news; future gdp; gmm

摘要

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 much of their ability to explain the cross-section. (C) 2002 Elsevier Science B.V. All rights reserved.