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Macroeconomics and the value premium
Journal of Asset Management, 2021The value premium as measured by the “high minus low” returns from the Fama and French database has been negative or statistically indistinguishable from zero for the past decade. The value premium is highly variable and non-normally distributed, making traditional statistical tests like t tests or regressions difficult to implement or misleading.
Brian Jacobsen, Wai Lee
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Review of Pacific Basin Financial Markets and Policies, 2023
The book-to-market ratio’s numerator adds assets and liabilities differing in risk. We propose a test for the value premium and its sources. Individual balance sheet holdings are divided by firm size. When associated risk premium coefficients are equal, an overall book-to-market is appropriate.
Peter Chinloy, Matthew Imes, Wendy Liu
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The book-to-market ratio’s numerator adds assets and liabilities differing in risk. We propose a test for the value premium and its sources. Individual balance sheet holdings are divided by firm size. When associated risk premium coefficients are equal, an overall book-to-market is appropriate.
Peter Chinloy, Matthew Imes, Wendy Liu
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Resurrecting the Value Premium
SSRN Electronic Journal, 2020The prolonged poor performance of the value factor has led to doubts about whether the value premium still exists. Some have noted that the observed returns still fall within statistical confidence intervals, but such arguments do not restore full confidence in the value premium.
David Blitz, Matthias X. Hanauer
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CFA Digest, 2008
The value premium is driven by 7 percent of the stock market. The 93 percent of market capitalization held most by institutional investors is value premium free. In contrast, in stocks held most by individual investors, the value premium, even when the stocks are value weighted, reaches a staggering 185 bps per month.
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The value premium is driven by 7 percent of the stock market. The 93 percent of market capitalization held most by institutional investors is value premium free. In contrast, in stocks held most by individual investors, the value premium, even when the stocks are value weighted, reaches a staggering 185 bps per month.
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Firm Location and the Value-Growth Premium
SSRN Electronic Journal, 2021We investigate the value-growth premium puzzle by merging insights from urban economics and finance that relate firm location to its stock performance. The value-growth premium in locations with high historical house price appreciation is 3.6% larger per year than the premium in areas that experienced little house price appreciation.
Brent W. Ambrose +2 more
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Is the Karlsruhe premium a fair value premium?
Blätter der DGVFM, 2004Among the several parameter-free premium principles, for which the loading factor has been eliminated, the Karlsruhe premium principle plays an important and prominent role. Numerous different approaches leading or closely related to this premium principle are recalled. Then a new fair value interpretation is proposed.
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The Value Premium and the CAPM
The Journal of Finance, 2005We examine (i) how value premiums vary with firm size, (ii) whether the CAPM explains value premiums, and (iii) whether in general average returns compensate beta in the way predicted by the CAPM. Loughran's (1997) evidence for a weak value premium among large firms is special to 1963-1995, U.S.
EUGENE F. FAMA, KENNETH R. FRENCH
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SSRN Electronic Journal, 2011
MSCI Value Weighted Indices are systematic indices that aim to reflect the value premium by employing an alternative weighting scheme that tilts the index towards stocks with lower valuation ratios. In this paper, we review the theoretical aspects of value weighted indices and through empirical studies we discuss the important facets of index ...
Madhusudan Subramanian +3 more
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MSCI Value Weighted Indices are systematic indices that aim to reflect the value premium by employing an alternative weighting scheme that tilts the index towards stocks with lower valuation ratios. In this paper, we review the theoretical aspects of value weighted indices and through empirical studies we discuss the important facets of index ...
Madhusudan Subramanian +3 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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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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