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Fama French factors and US stock return predictability

Panopoulou, Ekaterini, Plastira, Sotiria (2014) Fama French factors and US stock return predictability. Journal of Asset Management, 15 (2). pp. 110-128. ISSN 1470-8272. E-ISSN 1479-179X. (doi:10.1057/jam.2014.15) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1057/jam.2014.15

Abstract

This article investigates whether the HML, SMB along with the long-term reversal and the momentum factors exhibit both in-sample and out-of-sample forecasting ability for the US stock returns. Our findings suggest that these factors contain significantly more information for future stock market returns than the typically employed financial variables. We also go one step further and test whether these variables can proxy for the aforementioned factors and find that the default spread and to a lesser extent the term spread contain important information for the evolution of the factors examined. Finally, we show that appropriate decompositions of the factors in their size and value components can enhance predictability.

Item Type: Article
DOI/Identification number: 10.1057/jam.2014.15
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School
Depositing User: Ekaterini Panopoulou
Date Deposited: 19 Sep 2014 19:30 UTC
Last Modified: 29 May 2019 13:06 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/43022 (The current URI for this page, for reference purposes)
Panopoulou, Ekaterini: https://orcid.org/0000-0001-5080-9965
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