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

Faff, Robert, Gharghori, Philip and Nguyen, Annette 2014, Non-nested tests of a GDP-augmented Fama–French model versus a conditional Fama–French model in the Australian stock market, International review of economics and finance, vol. 29, pp. 627-638.

Attached Files
Name Description MIMEType Size Downloads

Title Non-nested tests of a GDP-augmented Fama–French model versus a conditional Fama–French model in the Australian stock market
Author(s) Faff, Robert
Gharghori, Philip
Nguyen, Annette
Journal name International review of economics and finance
Volume number 29
Start page 627
End page 638
Total pages 12
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2014-01
ISSN 1059-0560
1873-8036
Keyword(s) GDP growth
Fama-French model
asset pricing
Summary 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 or whether it is due to the macroeconomic conditioning variables used to construct the GDP factor. We compare the performance of a GDP-enhanced Fama–French model with the conditional Fama–French model using non-nested testing techniques. We find that the GDP-augmented model considerably underperforms the conditional version of the model.
Language eng
Field of Research 150201 Finance
Socio Economic Objective 900102 Investment Services (excl. Superannuation)
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2014, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30058512

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
Connect to link resolver
 
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Versions
Version Filter Type
Access Statistics: 41 Abstract Views, 5 File Downloads  -  Detailed Statistics
Created: Wed, 27 Nov 2013, 09:59:10 EST by Katrina Fleming

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.