Results 11 to 20 of about 5,801,357 (289)
, 2004 Recent research on the equity risk premium has questioned the ability of historical estimates of the risk premium to provide reliable estimates of the expected risk premium.
Mase, B, Kyriacou, K, Madsen, J
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The implied equity risk premium - an evaluation of empirical methods [PDF]
, 2007 A new approach of estimating a forward-looking equity risk premium (ERP) is to calculate an implied risk premium using present value (PV) formulas. This paper compares implied risk premia obtained from different PV models and evaluates them by analyzing ...
Schröder, David
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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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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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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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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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Three essays on the value premium : can investors capture the promised rewards? [PDF]
, 2010 A consensus exists in the body of academic literature that stocks with high BE/ME characteristics outperform stocks with low BE/ME characteristics. Researchers disagree, however, as to the cause of the phenomenon.
Scislaw, Kenneth Edward
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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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