GDP mimicking portfolios and the cross-section of stock returns

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ZEW Discussion Papers ; No. 13-026

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Business Fluctuations; Cycles ; Asset Pricing; Trading Volume; Bond Interest Rates
• Thema: Business Cycle ; Lead ; Lag ; Size ; Value ; Momentum

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Kroencke, Tim A. ; Schindler, Felix ; Sebastian, Steffen ; Theissen, Erik
• Ereignis: Veröffentlichung
• (wer): Zentrum für Europäische Wirtschaftsforschung (ZEW)
• (wo): Mannheim
• (wann): 2013

Weitere Informationen

• Handle: http://hdl.handle.net/10419/74531
• URN: urn:nbn:de:bsz:180-madoc-333375
• Letzte Aktualisierung: 10.03.2025, 11:46 MEZ