Results 181 to 190 of about 1,488 (213)
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The value premium and expected business conditions
Finance Research Letters, 2018Abstract Prior research finds no discernible relation between the realized value premium (the spread between the returns on value and growth stocks) and forecasts of real GDP growth produced by professional economists. This finding appears to be driven by an unmodeled structural break.
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International Economic Journal, 2010
We examined the return co-movement of popular value-oriented investment strategies inside and outside equity. There are two distinct groups among the strategies examined in this study. The returns of strategies within a group move together, while the returns of strategies belonging to different groups do not.
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We examined the return co-movement of popular value-oriented investment strategies inside and outside equity. There are two distinct groups among the strategies examined in this study. The returns of strategies within a group move together, while the returns of strategies belonging to different groups do not.
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On the Value Premium in Malaysia
2001Davis, Fama and French (2000) report that the value premium in United States’ stocks is robust. Herein, we present out-of-sample evidence for Malaysia, finding that value stocks outperform growth stocks and document an arbitrage opportunity. We observe that the mean monthly returns are substantially higher for the two mimic portfolios (SMB and HML ...
Michael E. Drew, Madhu Veeraraghavan
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Disentangling the value premium in the UK
The Journal of Risk Finance, 2010PurposeThe aim of this paper is twofold. First, it aims to provide better understanding for the main sources behind the value premium in the UK. Second, given that the value factor (HML) in the Fama‐French three‐factor model is itself a proxy for value premium, this paper seeks to illustrate the component of HML responsible for explaining UK portfolio ...
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Implied Returns and the Value Premium
SSRN Electronic Journal, 2011Superior returns of value firms are consistent with rational expectations under costly reversibility and the countercyclical price of risk through examination of expected rates of return (k) and market risk premiums (MRP) over time. With increases in the book-to-market (B/M) ratio, both the expected rate of return (k) and expected market risk premium ...
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The fundamental-to-market ratio and the value premium decline
Journal of Financial Economics, 2023Andrei S Gonçalves
exaly
The missing risk premium in exchange rates
Journal of Financial Economics, 2022Julien Penasse, Magnus Dahlquist
exaly
Premium Designs FOR Better Value
Eureka!Every designer has to work within cost constraints, but they must be balanced against the outcomes and the demands of the project, argues Tamas Hertelendi, maxon UK & Ireland’s engineering lead for Southern England.
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