Can book-to-market, size and momentum be risk factors that predict economic growth?

• 成果类型: Article; Proceedings Paper
• 署名作者: Liew, J; Vassalou, M
• 署名单位: Columbia University; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(00)00056-8
• 发表日期: 2000
• 页码: 221-245
• 关键词: BOOK-TO-MARKET; size; momentum; GDP growth

摘要

We test whether the profitability of HML, SMB, and WML can be linked to future Gross Domestic Product (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 is found to support such an explanation in the case of WML. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: G11; G12; G15.