Kroencke, Tim-Alexander; Schindler, Felix; Sebastian, … - 2013
The components of GDP (residential investment, durables, nondurables, equipment and software, and business structures … asset returns. We find that the leading GDP components perform well in explaining the returns of 25 size and book …-factor model with the market risk premium, one leading and one lagging GDP component compares very favorably with the Carhart four …