article 2- class 1

Previous versions of the paper were presented at the Finance Free-Lunch Seminar at Columbia Business School, the 1999 Western Finance Association Meetings in Santa Monica, and the 1999 Eur ope an Finance Ass oci ati on Mee tings in Hel sin ki. We are grat eful to Kennet h Fre nch for providing us with part of the data used in Section 4 of this study. We would also like to thank the anonymous referee for many insightful comments. Wook Sohn provided research assistance in revising the paper. Work on this paper was completed while Jimmy Liew was a Ph.D. student at Columbia Business School, prior to his employment at Morgan Stanley Dean Witter. * Corresponding address. Graduate School of Business, Columbia University, 416 Uris Hall, 3022 Broadway New York, NY 10027, USA. Tel.: #1-212-854-4104; fax: #1-212-316-9180. E-mail address: maria.vassalou@columbia.edu (M. Vassalou). Journal of Financial Economics 57 (2000) 221 }245 Can book-to-market, size and momentum be risk factors that predict economic growth? Jimmy Liew, Maria Vassalou * Morgan Stanley Dean Witter, 1585 Broadway, New York, NY 10020, USA Graduate School of Business, Columbia Uni versity, 416 Uris Hall, 3022 Broadway, New York, NY 10027, USA Centre for Economic Policy Research (CEPR), USA Received 6 April 1999; received in revised form 9 November 1999 Abstract We test whether the pro "tability of HML, SMB, and WML can be linked to future Gross Domestic Product (GDP) growth. Using data from ten countries, we "nd that HML and SMB contain signi "cant informat io n about f uture GDP growth. This information is to a large degree independent of that in the market factor. Even in the presence of popular business cycle variables, HML and SMB retain their ability to predict future economic growth in some countries. Our results support a risk-based explanation for the pe rf ormance of HML and SMB. Litt le ev iden ce is found to su pp ort such an explanation in the case of WML. 2000 Elsevier Science S.A. All rights reserved. JEL classi xcation: G11; G12; G15 Keywords: Book-to-market; Size; Momentum; GDP growth

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