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HML, SMB, and GDP: Do Fama and French Factors Contain Information for Future Domestic Product in the United States?
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This study examines whether the abnormal returns of zero investment strategies selected by book-to-market values and market capitalization exhibit correlations to future real Gross Domestic Product (GDP) growth in the United States. Using the factor returns from 1993 to 2012 contrasting against future GDP growth from 1994 to 2013, the outcome of this study suggests that the performance of the two strategies contains possible links to future macroeconomic conditions.