Hahn, Jaehoon; Lee, Hangyong - In: Journal of Financial and Quantitative Analysis 41 (2006) 02, pp. 245-269
This paper investigates whether the size and book-to-market factors of Fama and French (1993) proxy for the risks associated with business cycle fluctuations. We find that changes in default spread (Δ<italic>def</italic>) and changes in term spread (Δ<italic>term</italic>) capture the systematic differences in average returns...