G2TT
来源类型Discussion paper
规范类型论文
来源IDDP2166
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
URLhttps://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.
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