Can Book-to-Market and Size be Risk Factors that Predict Economic Growth in Asia's Emerging Economies?
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We investigate whether the two zero cost portfolios, SMB and HML, have the ability to predict economic growth for markets investigated in this paper. Our findings show that there are only a limited number of cases when the coefficients are positive and signficiance is achieved in an even more limited number of cases. Our results are in stark contrast to Liew and Vassalou (2000) who find coefficients to be generally positive and of a similar magnitude.