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.
JEL classification: G12
Keywords: Chen and Zhang three-factor model; macroeconomic risk
학회소식
학회소식
[2010년 제 4차] On the Relation between the Chen-Zhang Factor
작성자 : 관리자
조회수 : 1021
게시일 :
2010-12-09