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| Tekijä: | Vassalou, M. |
| Otsikko: | News related to future GDP growth as a risk factor in equity returns |
| Lehti: | Journal of Financial Economics
2003 : APR, VOL. 68:1, p. 47-73 |
| Asiasana: | Capital asset pricing Gross National Product Futures markets |
| Kieli: | eng |
| Tiivistelmä: | 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. |
SCIMA