An empirical investigation of the book -to -market and size effects

This paper consists of two essays. This first essay shows that the Fama-French factors HML and SMB are correlated with innovations in well-known variables that describe investment opportunities. HML is mostly related to a term spread surprise factor, while SMB is mostly related to a default spread s...

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Bibliographic Details
Main Author:	Petkova, Ralitsa Grigorova
Format:	Dissertation
Language:	English
Published:	ProQuest Dissertations & Theses 01-01-2003
Subjects:	Bond portfolios Business cycles Capital assets Consumption Copyright Default Economic theory Equity Essays Federal Reserve monetary policy Finance GDP Gross Domestic Product Growth stocks Hedging Inflation Interest rates Investments Macroeconomics Proxies Rates of return Risk premiums Spread Success Value stocks Variables Volatility Yield curve
Online Access:	Get full text
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