Do Momentum, Value, and Size Premia Predict Economic Growth?

Do Momentum, Value, and Size Premia Predict Economic Growth?

Author: zant worldpress

This paper explore whether market anomalies can predict economic growth and other

macroeconomic factors using the time-varying volatility methodology. The findings indicate

that risk premia have different and significant relationship with different macroeconomic

factors in the U.S market. The findings of using different univariate and multivariate

specification of Ordinary Least Squares and TARCH models suggest that momentum can

predict economic growth while there is no evidence that value premium, size premium or

momentum can do. However there is strong evidence that the liquidity crisis can predict

the economic growth.

JEL Codes: G01, G12, G14

Key Words: Value Premium; Size Premium; Momentum; Default Risk; Term Premium;
Financial Crises; Economic Growth.

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