Can Book-to-Market, Size and Momentum Be Risk Factors that Predict Economic Growth?

J. Liew and M. Vassalou

Working Papers from Columbia - Graduate School of Business

Abstract: We test whether the profitability of HML, SMB, and WML can be linked to future 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 was found to support such an explanation in the case of WML.

Keywords: ECONOMIC GROWTH; MARKET; RISK (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Pages: 30 pages
Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (10)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fth:colubu:99-11

Access Statistics for this paper

More papers in Working Papers from Columbia - Graduate School of Business U.S.A.; COLUMBIA UNIVERSITY, GRADUATE SCHOOL OF BUSINESS, PAINE WEBBER , New York, NY 10027 U.S.A. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().