Predicting premiums for the market, size, value, and momentum factors

Abstract

Predictability, Data mining, Stock market, Size, Value, Momentum, G11, G12, G14,

The cross-section of equity returns and assets’ fundamental cash-flow risk

“…To recognize the permanent and transitory risk components, we feed a number of empirically relevant portfolio-specific microlevel variables into a vector autoregressive (VAR) time series model. The importance of factors related to firm size, bookto-market equity, and other financial variables such as leverage, price-to-earnings ratio, value, term, and credit spreads has been highlighted by French (1989, 1995), Keim and Stambaugh (1986), Campbell and Shiller (1988), and Steiner (2009).…”