Results 1 to 10 of about 564,567 (252)
The Expected Value Premium [PDF]
SSRN Electronic Journal, 2006 Fama and French (2002) estimate the equity premium using dividend growth rates to measure expected rates of capital gain. We use a similar method to study the value premium. From 1941 to 2005, the expected HML return is on average 6.0% per annum, consisting of an expected dividend-growth component of 4.4% and an expected dividend-price-ratio component ...
Long Chen, Ralitsa Petkova, Lu Zhang
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A new insight into value premium and size premium
IIMB Management Review, 2019 Analysing Indian equity data from 1995 to 2014, we conclude that median portfolios, which have received little attention from most researchers of value premium (VP) and size premium (SP), are quite pivotal.
Soumya Guha Deb, Banikanta Mishra
doaj +5 more sources
Size premium, value premium and market timing: evidence from an emerging economy [PDF]
Journal of Economics Finance and Administrative Science, 2018 Purpose - This study aims to investigate the market timing strategy in different market conditions (i.e. up, down, normal and in-financial-crisis situation) in the emerging market of Pakistan over the period 1995 to 2015.
Syed Haroon Rashid +3 more
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Earnings Growth and Value Premium: The Indian Experience
Vikalpa, 2015 Executive Summary This article addresses two main questions: Does a value premium exist in emerging market like India? If so, how pervasive is it in different market conditions?
T G Saji, S Harikumar
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BBR: Brazilian Business Review, 2015 Asset pricing is a widely explored theme in the financial literature. Nevertheless, the phenomenon of value premium is still controversial, since although easily detected in developed and emerging markets, little is know about the economic forces that ...
Lilian de Castro Medeiros +1 more
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Rationalizing the value premium in emerging markets [PDF]
Journal of International Financial Markets, Institutions and Money, 2014 نعيد تأكيد وجود علاوة القيمة في الأسواق الناشئة. باستخدام مجموعة البرازيل وتركيا والهند والصين (BTIC) خلال فترة من النمو الاقتصادي الكبير وتطور سوق الأسهم، نعزو العلاوة إلى أنماط الاستثمار للشركات البراقة. نحن نفترض استنادًا إلى أدلة تجريبية أن الشركات الساحرة تكتنز النقد، مما يؤخر تنفيذ خيارات النمو، خاصة في الظروف الاقتصادية السيئة.
M. Shahid Ebrahim +3 more
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The Value Premium and Time-Varying Volatility [PDF]
SSRN Electronic Journal, 2009 Abstract: Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the difference in returns between value and growth stocks. This paper examines the post‐1963 value premium by employing a model that captures the time‐varying total risk of the value‐minus‐growth portfolios.
Li, X., Brooks, C., Miffre, J.
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The Role of Financial Distress Factor in Explaining Profitability of Value and Size Premiums [PDF]
بررسیهای حسابداری و حسابرسی, 2023 Objective: This study aims to elucidate the profitability of value premium and size premium anomalies by employing the CHS score by Campbell et al. (2008) as the market-based financial distress indicator and Ohlson's O score (1980) as the accounting ...
Negar Khosravipour +2 more
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The value premium and uncertainty: An approach by support vector regression algorithm
Cogent Economics & Finance, 2023 Risk premium plays an important role in stock investing. Experiments have shown that value stocks typically have a higher average return than growth stocks; however, this effect persists indefinitely, even disappearing in some stages.
Bui Thanh Khoa, Tran Trong Huynh
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Value premium and macroeconomic variables
European Financial Management, 2022 AbstractThis paper investigates the effect of macroeconomic expectations on the value premium. We introduce a two‐pass estimation procedure to extrapolate the impact of investors' macroexpectations on the firm fundamental value of Rhodes‐Kropf, Robinson, and Viswanathan. We find that the level and slope of the term structure affect valuation, revealing
Elena Beccalli +2 more
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