 Do zero-cost portfolios have the ability to predict economic growth? Evidence from Hong Kong, South Korea and TaiwanFreddy Davison, Alastair Marsden and Madhu Veeraraghavan International Review of Financial Analysis, 2008, vol. 17, issue 5, 1012-1028 Abstract: In this paper we investigate the relationship between growth in future Gross Domestic Product (GDP) and Industrial Production (IDP) and the performance of SMB (small stocks minus big stocks) and HML (High book-to-market stocks minus low book-to-market stocks) portfolios for equities listed in Hong Kong, South Korea and Taiwan. We find evidence to suggest that: (a) the excess market return is positively related to future GDP or IDP growth in South Korea and Taiwan; (b) contrary to most European markets, Australia, Japan and the US, future economic growth is in general significantly negatively related to SMB in Hong Kong and South Korea; and, (c) a negative relationship between future economic growth and HML for Hong Kong. Our results cast doubt if SMB and HML portfolios are positive risk factors in the Fama and French (Fama, E. F., and French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56) three-factor asset pricing model for Hong Kong, South Korea and Taiwan. Keywords: Multifactor; model; Size; effect; Book-to-market; equity; effect (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:17:y:2008:i:5:p:1012-1028 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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