Macroeconomic Expectations and the Size, Value and Momentum Factors

Mikael Bergbrant () and Patrick Kelly
Additional contact information
Mikael Bergbrant: St. Johns University

No w0214, Working Papers from Center for Economic and Financial Research (CEFIR)

Abstract: One of the challenges facing the prior literature when examining the link between macroeconomic risks and the size (SMB), value (HML) and momentum (WML) factors is the difficulty of obtaining direct measures of macroeconomic expectations. We re-examine these relations using direct measures of investor expectations across 20 developed markets. While local and global market returns are robustly related to measures of economic activity, unlike the prior literature we find only a weak relation between HML and changes in expectations about macroeconomic activity. SMB and WML are either unrelated to or act as hedges against macroeconomic risk. This is inconsistent with HML, SMB and WML being priced because they proxy for macroeconomic risks. These findings are not the result of low power tests but rather from the fact that the individual portfolios, which make up the factors, have economically and statistically similar sensitivity to the macroeconomic risks we examine.

Pages: 48 pages
Date: 2015-03
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.cefir.ru/papers/WP214.pdf (application/pdf)

Related works:
Journal Article: Macroeconomic Expectations and the Size, Value, and Momentum Factors (2016)
Working Paper: Macroeconomic Expectations and the Size, Value and Momentum Factors (2015)
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:cfr:cefirw:w0214

Access Statistics for this paper

More papers in Working Papers from Center for Economic and Financial Research (CEFIR) Contact information at EDIRC.
Bibliographic data for series maintained by Julia Babich ().