Kroencke, Tim A.; Schindler, Felix; Sebastian, Steffen; … - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2013
asset returns. We find that the leading GDP components perform well in explaining the returns of 25 size and book … explaining the returns of 25 size and book-to-market portfolios but explain the return of momentum portfolios very well. A three …-factor model in jointly explaining the returns on 25 size/book-to-market portfolios, 10 momentum portfolios and 30 industry …