Are the Fama–French factors proxying news related to GDP growth? The Australian evidence. Nguyen, Annette, Faff, Robert and Gharghori, Philip 2009, Are the Fama–French factors proxying news related to GDP growth? The Australian evidence., Review of quantitative finance and accounting, vol. 33, no. 2, pp. 141-158, doi: 10.1007/s11156-009-0137-8. Attached Files Name Description MIMEType Size Downloads Title Are the Fama–French factors proxying news related to GDP growth? The Australian evidence. Author(s) Nguyen, Annette orcid.org/0000-0003-1272-9141 Faff, Robert Gharghori, Philip Journal name Review of quantitative finance and accounting Volume number 33 Issue number 2 Start page 141 End page 158 Total pages 18 Publisher Springer Place of publication Dordrecht, The Netherlands Publication date 2009-08 ISSN 0924-865X 1573-7179 Keyword(s) GDP growth Fama–French model asset pricing Summary Inspired by Vassalou (J Financ Econ 68:47–73, 2003), we investigate the contention that the Fama and French (J Financ Econ 33:3–56, 1993) model’s ability to explain the cross sectional variation in equity returns is because the Fama–French factors are proxying for risk associated with future GDP growth in the Australian equities market. To assess the validity of Vassalou’s findings, we augment the CAPM and the Fama–French model with a GDP growth factor and run system regressions of the GDP-enhanced models using the GMM approach. Our results suggest that news about future GDP growth is not priced in equity returns and that any ability that SMB and HML exhibit in explaining equity returns is not because they contain information about future GDP growth. Language eng DOI 10.1007/s11156-009-0137-8 Field of Research 150205 Investment and Risk Management Socio Economic Objective 900102 Investment Services (excl. Superannuation) HERDC Research category C1.1 Refereed article in a scholarly journal Copyright notice ©2009, Springer Science+Business Media, LLC Persistent URL http://hdl.handle.net/10536/DRO/DU:30033851 Document type: Journal Article Collections: Faculty of Business and Law School of Accounting, Economics and Finance Related Links Link Description Connect to published version (restricted access) Go to link with your DU access privileges     Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Versions Version Filter Type Thu, 14 Apr 2011, 12:03:26 EST Thu, 14 Apr 2011, 12:05:03 EST Thu, 23 Feb 2012, 12:39:50 EST Mon, 16 Jun 2014, 17:44:05 EST Thu, 14 Aug 2014, 11:22:27 EST Thu, 14 Aug 2014, 11:24:36 EST Thu, 11 Dec 2014, 17:00:33 EST Filtered Full Citation counts:   Cited 11 times in TR Web of Science Cited 14 times in Scopus Search Google Scholar Access Statistics: 678 Abstract Views, 6 File Downloads  -  Detailed Statistics Created: Thu, 14 Apr 2011, 12:03:18 EST by Leanne Swaneveld