News Related to Future GDP Growth as Risk Factors in Equity Returns

By Maria Vassalou. 2002

153 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/d903e962c511520fc65e9e4abf755bd4f7abd519

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Citations in the corpus

Empirical cross-sectional asset pricing: a survey (2011, background): “Vassalou (2003) shows that a model with a factor related to news about to future GDP growth along with the market factor can price equities as well as the three-actor model.”
Sector Investment Growth Rates and the Cross Section of Equity Returns (2006, background): “In addition, Vassalou (2003) shows that much of the ability of HML and SMB to explain asset returns is due to news related to future Gross Domestic Product (GDP) growth.”
Modeling systemic risk with Markov Switching Graphical SUR models (2019, background): “The multi-factor pricing model in (1) is fairly general because it represents a reduced-form approximation of a linear pricing kernel (see, e.g. Liew and Vassalou 2000, Cochrane 2001, and Vassalou 2003).”
Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk (2006, background): “The existing literature analyzing the cross sectional pricing of business cycle risk includes Chen, Ross, and Roll (1986), Jagannathan and Wang (1996), Lettau and Ludvigson (2001), and Vassalou (2003).”
What Happened to the Quants in August 2007?: Evidence from Factors and Transactions Data (2010, background): “Of course, the problem can be turned on its head and stock returns can be used to predict future macro events, as in Liew and Vassalou (2000) and Vassalou (2003) .”
Macroeconomic risks and characteristic-based factor models (2010, methodology): “However, as most of these studies analyze one macroeconomic fundamental or at best a narrow set of them (e.g., see Hahn and Lee, 2006; Petkova, 2006; Vassalou and Xing, 2004; Vassalou, 2003), their empirical findings are not completely unambiguous.”
Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium (2007, background): “Another strand of literature relates observed returns of value and growth stocks to aggregate market cash flows or macroeconomic factors (Campbell, Polk, and Vuolteenaho (2003), Liew and Vassalou (2000), Parker and Julliard (2005), Vassalou (2003)).”
Asset Pricing Models and Financial Market Anomalies (2006, unknown): “Following Lamont (2001) and Vassalou (2002), the base assets include the six valueweighted Fama–French portfolios constructed from the intersections of two market value and three book-to-market portfolios.”
Economic Forces and the Stock Market Revisited (2006, background): “A recent paper by Vassalou (2003) argues that a mimicking portfolio designed to capture news about future gross domestic product helps explain the cross-section of stock returns.”