The Relationship between the Factors of Risk in Asset Evaluation Models and Future Economic Growth: Evidence from Three Regional Markets

  • José Clemente Jacinto Ferreira
  • Ana Paula Matias Gama
Keywords: Fama-French Three and Five Factor Model, Economic Growth, Regional Risk Factors, Investment, Profitability

Abstract

This study seeks to ascertain whether the risk factors in the asset evaluation models proposed by Fama and French (1993, 2015) contain information that help in forecasting regional economic growth. To this end, based upon samples of Gross Domestic Product for three regions, North America, Asia Pacific and Europe, covering the period between 1991 and 2018, we applied the quantile regression analysis technique. The empirical results suggest that the performance of regional risk factors contains information that helps in forecasting the regional level of economic growth. This furthermore concludes that the regional risk factors help in forecasting the economic growth of countries with developed and large-scale share markets.

References

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Published
2020-12-31