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

Maria Vassalou

No 3057, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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. 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.

Keywords: Asset pricing; News; Future gdp; Gmm (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2001-11
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Citations: View citations in EconPapers (2)

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