| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2166 |
| DP2166 Performance and Characteristics of Swedish Mutual Funds 1993-97 | |
| Paul Söderlind; Magnus Dahlquist; Stefan Engström | |
| 发表日期 | 1999-06-28 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | We examine the extent to which the profitability of the HML, SMB, and WML trading strategies can be linked to future GDP growth. Using a large cross-section of securities from ten developed markets, we find that the HML and SMB portfolios contain significant information about future GDP growth. The predictive ability of these strategies is to a large degree independent of any information contained in the domestic market factor, which is known to be a leading indicator of economic growth. Even in the presence of popular business cycle variables, HML and SMB retain their ability to predict future economic growth in some of the countries examined. Our results support a risk-based explanation for the performance of the HML and SMB trading strategies. Little evidence was found to support such an explanation in the case of the WML trading strategy. |
| 主题 | Financial Economics |
| 关键词 | Book-to-market Gdp growth Momentum Trading strategies |
| URL | https://cepr.org/publications/dp2166 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531274 |
| 推荐引用方式 GB/T 7714 | Paul Söderlind,Magnus Dahlquist,Stefan Engström. DP2166 Performance and Characteristics of Swedish Mutual Funds 1993-97. 1999. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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