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

By F. T. Magiera. 2003

365 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/80b4b11b75f2f6b451582758e40b307541cea358

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In Strategy and Management

Citations in the corpus

A Skeptical Appraisal of Asset Pricing Tests (2010, neutral): “The models suggest new risk factors to help explain expected returns, including labor income (Jagannathan and Wang, 1996; Heaton and Lucas, 2000; Jacobs and Wang, 2004; Santos and Veronesi, 2006), growth in macroeconomic output and investment (Cochrane, 1996; Vassalou, 2003; Li, Vassalou, and Xing, ”
The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity (2010, background): “…evidence for the predictive links between the real economy and the financial sector (e.g., Fama (1990), Cochrane (1991), Vassalou and Liew (2000), Vassalou (2003), Rangvid (2006), and Belo (2010)), testifying to the possible validity of such links on a more global scale than previously…”
Multifactor models and their consistency with the ICAPM (2012, neutral): “12 Vassalou (2003) provides evidence that both SMB and HML convey information about future Gross Domestic Product (GDP) growth, (footnote continued) while Da and Schaumburg (2011) find that these factors are related to market volatility.”
Bad Beta, Good Beta (2004, neutral): “Small 1.66 [.13] 1.37 [.11] 1.18 [.10] 1.12 [.09] 1.12 [.10] -.54 [.08]”
Habit formation, the cross section of stock returns and the cash-flow risk puzzle (2010, background): “Also Liew and Vassalou (2000) and Vassalou (2003) show that news about forecasts of Gross Domestic Product (GDP) growth correlate with value stock returns.”
Identifying Expectation Errors in Value/Glamour Strategies: A Fundamental Analysis Approach (2012, neutral): “A related literature offers evidence that value and growth stocks possess differential sensitivities to time-varying macroeconomic risks (e.g., Vassalou 2003;Petkova and Zhang 2005;Zhang 2005; Lettau and Wachter 2007;Cohen, Polk, and Vuolteenaho 2009; Da and Warachka 2009; Campbell, Polk, and…”
The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015, positive): “That is, ̂ is an estimate of: ∑ ( ) (18) where Following Vassalou (2003), Cochrane (1996) and others, we use the Newey West (1987) estimator of ̂ ∑ ∑ ( | | ) (19) The Newey West estimator of is typically used because it accounts for possible serial correlation and is positive definite in every…”
Temperature shocks and the cost of equity capital: Implications for climate change perceptions (2017, methodology): “To examine empirically whether the temperature distribution is a priced Merton (1973) state variable, we follow the empirical asset pricing literature (e.g. Vassalou, 2003; Kapadia, 2011).”
Good Times or Bad Times? Investors' Uncertainty and Stock Returns (2009, neutral): “It is plausible that the Fama-French factors HML and SMB proxy for news related to GDP future growth, as suggested by Vassalou (2003) .”