Liew and Vassalou (2000) show that returns on style portfolios (SMB and HML)
A)seem like statistical flukes.
B)seem to predict GDP growth.
C)may be proxies for business cycle risk.
D)seem to predict GDP growth and may be proxies for business cycle risk.
E)None of the options

Question

Quizplus · Accepted Answer

Liew and Vassalou (2000) show that returns on style portfolios (SMB and HML) seem to predict GDP growth and may be proxies for business cycle risk.

Liew and Vassalou (2000) Show That Returns on Style Portfolios