Non-nested tests of a GDP-augmented Fama–French model versus a conditional Fama–French model in the Australian stock market

We extend Vassalou (2003) by conditioning the Fama–French model with the same macroeconomic variables used to construct a GDP factor. The motivation for doing so is to ascertain whether the ability of the GDP-augmented model to explain equity returns is actually due to news about future GDP growth o...

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Veröffentlicht in:	International review of economics & finance 2014-01, Vol.29, p.627-638
Hauptverfasser:	Faff, Robert, Gharghori, Philip, Nguyen, Annette
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset pricing Economic growth Economic models Fama–French model GDP GDP growth Gross Domestic Product Macroeconomics Securities markets Studies
Online-Zugang:	Volltext
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