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- W12680489 abstract "El objetivo de este trabajo es analizar si un factor con capacidad predictiva sobre el crecimiento economico futuro, captura los rendimientos de los activos cotizados en la bolsa espanola. A su vez, se analiza la posible interpretacion racional economica de los factores de Fama y French y momentum, como variables con informacion sobre dicho crecimiento economico futuro. Se cuantifican estos efectos para las etapas de crisis (economica: 1993-1997 y financiera: 2008-2011) y de expansion economica (1998-2007). Los resultados subrayan la relevancia y capacidad explicativa de este factor predictivo pero se encuentra una interpretacion economica debil de los factores tamano y ratio book-to-market, a partir de este factor que recoge las noticias del mercado sobre el crecimiento futuro del PIB. El factor de negociacion momentum aporta un impacto economico practicamente nulo. The aim of this paper is to examine whether a factor predictive of future economic growth, captures asset returns on the Spanish stock market. Furthermore, we analyze the possible economic rational interpretation of the Fama and French factors and momentum, as variables with information about the future economic growth. These effects are quantified for the stages of crisis (economic: 1993 to 1997, and financial: 2008 to 2011) and economic expansion (1998 to 2007). The results show the relevance and explanatory power of this predictor in all periods, but is a weak economic interpretation of the size and book-to-market ratio factors, since this factor reflects market news on growth future GDP. The economic impact of momentum factor is irrelevant." @default.
- W12680489 created "2016-06-24" @default.
- W12680489 creator A5081826837 @default.
- W12680489 date "2014-01-01" @default.
- W12680489 modified "2023-09-24" @default.
- W12680489 title "¿Puede un factor réplica del crecimiento económico futuro (PIB) explicar los rendimientos de los/News Related to Future Gross Domestic Product (GDP) Growth Factor on Asset Pricing on the Spanish Stock Market?" @default.
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