Results 1 to 10 of about 567,067 (164)
The Expected Value Premium [PDF]
SSRN Electronic Journal, 2006 Fama and French (2002) estimate the equity premium using dividend growth rates to measure the expected rate of capital gain. We use similar methods to study the value premium.
Long Chen, Lu Zhang, Ralitsa Petkova
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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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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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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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The investment value of the value premium [PDF]
Pacific-Basin Finance Journal, 2012 Value investment strategies are premised on research that value stocks outperform growth stocks. However, the research findings are dependent on the portfolio classification method that is used to sort stocks using the attributes of size and book-to-market ratios.
Brailsford, Tim +2 more
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Is there a value premium in cryptoasset markets? [PDF]
Economic Modelling, 2020 This paper identifies active addresses-to-network value as an additional common risk factor in the returns on cryptoassets. Active addresses refer to the number of unique wallet addresses that conduct an on-chain transaction, whereas the network value of a cryptoasset corresponds to its market capitalization. Investigating 652 cryptoassets, I find that
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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. Mid-market-capitalisation portfolios exhibit zero VP and mid-price-to-book portfolios, zero SP. A move to lower market-capitalisation (MC) or price-
Soumya Guha Deb, Banikanta Mishra
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The Journal of Finance, 2002 ABSTRACTThe value anomaly arises naturally in the neoclassical framework with rational expectations. Costly reversibility and countercyclical price of risk cause assets in place to be harder to reduce, and hence are riskier than growth options especially in bad times when the price of risk is high.
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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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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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