Fama-French Three Factors, Business Cycles and Inflation in Brazil

In this paper we find that Fama and French factors can explain the future behavior of three macroeconomic variables of the Brazilian economy: GDP, industrial production and inflation. The results show that these three factors explain the future behavior of the macroeconomic variables with a six-month lag, that SMB is positively correlated with economic growth and negatively with inflation and that HML is positively correlated with economic growth and negatively with inflation