Business cycle , lead , lag , size , value , momentum
Abstract:
The components of GDP (residential investment, durables, nondurables, equipment and
software, and business structures) display a pronounced lead-lag structure. We investigate
the implications of this lead-lag structure for the cross-section of asset returns. We
find that the leading GDP components perform well in explaining the returns of 25 size
and book-to-market portfolios and do reasonably well in explaining the returns of 10
momentum portfolios. The lagging components do a poor job at explaining the returns
of 25 size and book-to-market portfolios but explain the return of momentum portfolios
very well. A three-factor model with the market risk premium, one leading and one
lagging GDP component compares very favorably with the Carhart four-factor model
in jointly explaining the returns on 25 size/book-to-market portfolios, 10 momentum
portfolios and 30 industry portfolios.
Dieser Eintrag ist Teil der Universitätsbibliographie.
Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.
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