search query: @author Vassalou, M. / total: 2
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| Author: | Vassalou, M. |
| Title: | News related to future GDP growth as a risk factor in equity returns |
| Journal: | Journal of Financial Economics
2003 : APR, VOL. 68:1, p. 47-73 |
| Index terms: | Capital asset pricing Gross National Product Futures markets |
| Language: | eng |
| Abstract: | 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. 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. |
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