Faff, Robert; Gharghori, Philip; Nguyen, Annette - In: International Review of Economics & Finance 29 (2014) C, pp. 627-638
We extend Vassalou (2003) by conditioning the Fama–French model with the same macroeconomic variables used to construct a GDP factor. The motivation for doing so is to ascertain whether the ability of the GDP-augmented model to explain equity returns is actually due to news about future GDP...