Macroeconomic Expectations and the Size, Value, and Momentum Factors
研究了规模、价值和动量因子是否因反映宏观经济风险而被定价，发现因子对宏观经济风险的敏感性不稳健且不显著，有时甚至对冲风险，这与传统观点不一致。
When examining the sources of risk associated with priced factors, the prior literature often uses macroeconomic realizations to proxy for changes in expectations. However, realizations can be biased, so instead we use changes in macroeconomic forecasts and macroeconomic news surprises. The sensitivity of common factors to macroeconomic risks is not robust, and generally economically and statistically insignificant. Sometimes the factors even hedge risk. Importantly, the weak relation between the factors and risks is not the result of low powered tests. These findings are inconsistent with the notion that the factors are priced because they proxy for the macroeconomic risks examined.