Earticle

초록

영어

We examine whether the Chen–Zhang factors, INV and ROA, are related to the macroeconomy. We document that returns on the Chen–Zhang factors tend to covary positively with macroeconomic conditions: they tend to be high in good economic states, while low in bad economic states. We also find that INV and ROA incorporate critical information about the future state of the macroeconomy. The Chen–Zhang factors have some predictive power with respect to forward-looking economic variables, including growth in: GDP, consumption, labor income, industrial production, and the three-month T-bill returns. Even in the presence of business cycle variables, the Chen–Zhang factors maintain positive relation with future economic activity.

목차

Abstract
 1 Introduction
 2 The Chen–Zhang Three-Factor Model
 3 Data
 4 Factor Returns across States of the Economy
  4.1 Empirical Methodology
  4.2 Empirical results
 5 Relation between Chen–Zhang Factors and Future Economic Growth
 6 Conclusion
 References
 Table

키워드

저자

• Jangkoo Kang [ KAIST Business School ]
• Changjun Lee [ KAIST Business School ]
• Byoung-Kyu Min [ KAIST Business School ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330