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Earnings Information and the Value in Value Premium
SSRN Electronic Journal, 2012In this paper, we revisit the value premium puzzle and hypothesize that the value premium is driven by the arrival of new information specifically the news in earnings announcements. Consistent with our hypothesis, we find that a portfolio that takes positions among stocks only 5% of the year (the earnings window) contains 13% of the value premium ...
Somnath Das +2 more
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Connecting the dots: the accruals quality premium vs the value premium
Managerial Finance, 2010PurposeThe purpose of this paper is to investigate the connection between the accrual quality and the growth/value characteristics (and their return premia) at firm level.Design/methodology/approachThe paper employs a battery of univariate and multivariate cross‐sectional tests.
Doina Chichernea +2 more
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Do Investors Capture the Value Premium?
SSRN Electronic Journal, 2006Do investors realize higher returns by investing in value stocks instead of gorwth stocks? Examination of a sample of equity indexes, mutual funds, and large‐cap stocks reveals no evidence that value firms have earned higher returns than growth firms. The value premium reported in the literarture is historically strongest for small‐capitalization firms,
Todd Houge, Tim Lughran
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The value premium during flights
Finance Research Letters, 2021Abstract This study examines the returns on the value-minus-growth strategy in the U.S. stock market, during episodes of flight to and from safety. The premium is substantial for flight-to-safety months, especially for small and medium-sized equities.
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Value premium and default risk
Journal of Asset Management, 2014This article investigates the relationship between value premium and financial distress using a long US data set over 1927–2011. The measures of leverage and default are used as proxies for financial distress when applying a time-varying volatility methodology.
Mohammed M Elgammal, David G McMillan
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The Two Sides of Value Premium: Decomposing the Value Premium
Scholars and investors have studied the value premium for several decades. However, the debate over whether risk factors or biased market participants cause the value premium has never been settled. The risk explanation argues that value firms are fundamentally riskier than growth firms.openaire +2 more sources
Labor Leverage and the Value Premium
SSRN Electronic Journal, 2015We show that labor leverage, proxied by labor share, explains roughly half of the value premium but not future cash flow growth. The other half of the value premium is determined by the component of the book-to-market ratio that is orthogonal to labor share, and this component explains most of future cash flow growth.
Andres F Donangelo +2 more
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A value premium without operating leverage
Finance Research Letters, 2012Abstract The existing real options literature explains the value premium as a consequence of either operating leverage raising risk in low-demand states or industry-wide investment lowering risk in high-demand states. This paper presents a simple model in which a value premium arises solely from capacity constraints.
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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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