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

By J. Liew, Maria Vassalou. 2000

980 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/8f4582ac37f3e8465334868011a66f5d7c884d49

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Citations in the corpus

Asset Pricing Models and Financial Market Anomalies (2006, neutral): “Liew and Vassalou (2000) show that SMB and HML predict future economic growth even in the presence of traditional business cycle variables.”
Measuring and modeling systematic risk in factor pricing models using high-frequency data (2003, background): “Possible theoretical linkages between the Fama–French factors and the underlying economic state variables have been pursued by Brennan et al. (2002), Gomes et al. (in press), and Liew and Vassalou (2000); see also Cochrane (2001) for a recent textbook discussion. nonsynchronous trading effects.”
Style Effects in the Cross-Section of Stock Returns (2004, positive): “The use of the three factors as a control for riskcan be justified in part by the findings of Liew and Vassalou (2000) , who find that SMB and HML contain significant information about future GDP growth.”
Style momentum within the S&P-500 index (2004, background): “However, in this case, the winner, 18 Liew and Vassalou (2000) use 1978–1996 data for 10 countries to show that the profitability of the Fama–French size and book-to-market factors is linked to future growth in GDP.”
Is Value Riskier than Growth (2005, background): “Therefore, it is necessary to consider other possible drivers of the value anomaly, both APT- or ICAPMrelated risk (e.g., Fama and French (1993, 1996), Liew and Vassalou (2000), and Petkova (2004)) and overreaction-related mispricing (e.g., Lakonishok, Shleifer, and Vishny (1994)).”
Are Accruals Mispriced? Evidence from Tests of an Intertemporal Capital Asset Pricing Model (2008, neutral): “investment opportunities. Liew and Vassalou (2000) show that returns on SMB and HML predict”
A MIDAS Approach to Modeling First and Second Moment Dynamics (2016, neutral): “zip (14)Using an international sample of data on ten countries, Liew and Vassalou (2000) find some evidence that Hml and Smb are helpful in predicting future GDP growth.”
Accruals Quality, Stock Returns, and Macroeconomic Conditions (2010, positive): “Following Chen (1991), Liew and Vassalou (2000), and Chordia and Shivakumar (2006), we regress each of the 12-month-ahead macroeconomic variables on the risk factors such as the AQ-related risk factors, Fama-French‟s factors, and the momentum factor.”