Results 1 to 10 of about 38,838 (143)
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
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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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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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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 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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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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Performance of Value and Growth Stocks in the Aftermath of the Global Financial Crisis
Business Systems Research, 2021 Background: Due to strong empirical evidence from different markets, existence of value premium became a financial theory standpoint. Although previous studies found that value stocks beat growth stocks in bearish and bullish markets, during the GFC ...
Bevanda Lea-Marija +2 more
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The Review of Asset Pricing Studies, 2020 Abstract Value premiums, which we define as value portfolio returns in excess of market portfolio returns, are on average much lower in the second half of the July 1963–June 2019 period. But the high volatility of monthly premiums prevents us from rejecting the hypothesis that expected premiums are the same in both halves of the sample ...
Eugene F. Fama, Kenneth R. French
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Transaction Costs and Value Premium [PDF]
SSRN Electronic Journal, 2007 Fama und French (1992, 1993) haben erstmals gezeigt, dass Portfolios aus Unternehmen mit einem hohem Buch-/Marktwertverhaltnis (sog. Value Stocks) eine signifikant hohere durchschnittliche Rendite erzielen als Portfolios aus Unternehmen mit einem niedrigen Buch-/Marktwertverhaltnis (sog. Growth Stocks).
Agarwal, Vikas, Wang, Lingling
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Will Good Service Quality Promote Real Estate Value? Evidence from Beijing, China
Land, 2022 In the field of land use and urban management, real estate value-added issues have attracted much attention. Previous studies mainly focused on the premium of basic public services (such as infrastructure) in real estate value.
Fangyuan Liu +4 more
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