Results 321 to 330 of about 11,898,865 (382)

Can mispricing explain the value premium?

Financial Management, 2019
AbstractEmpirical research finds that stocks with low market‐to‐book (MTB) ratios outperform stocks with high MTB ratios. Rhodes‐Kropf, Robinson, and Viswanathan separate the MTB ratio into mispricing and growth options components. We report that the mispricing component, but not the growth options component, predicts abnormal returns for up to 5 years.
Jeffrey F. Jaffe, Jan Jindra, David J. Pedersen, Torben Voetmann   +3 more
openaire   +2 more sources

Value premium and default risk

Journal of Asset Management, 2014
This 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
openaire   +2 more sources

The value premium and expected business conditions

Finance Research Letters, 2018
Abstract 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.
Chris Kirby
openaire   +2 more sources

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.
Hanzhi Xu
openaire   +3 more sources

Rim-Based Value Premium and Factor Pricing Using Value-Price Divergence

Social Science Research Network, 2023
We document that value-to-price, the ratio of Residual-Income-Model-based valuation to market price, subsumes the power of book-to-market ratio and many other value or quality measures in predicting stock returns.
Lin Cong, Nathan George, Guojun Wang
semanticscholar   +1 more source

The Fundamental-to-Market Ratio and the Value Premium Decline

Social Science Research Network, 2020
Recent evidence indicates the value premium declined over time. In this paper, we argue this decline happened because book equity, BE, is no longer a good proxy for fundamental equity, FE, defined as the equity value originating purely from expected cash
Andrei S. Gonçalves, Gregory Leonard
semanticscholar   +1 more source

“Environmental disclosure greenwashing” and corporate value: The premium effect and premium devalue of environmental information

Corporate Social Responsibility and Environmental Management, 2023
Environmental disclosure is a crucial method for companies to demonstrate their environmental efforts. However, in some institutional contexts, companies may be inclined to “greenwash” their environmental disclosures, strategically seeking social rewards.
Yiqiang Zhou, Lianghua Chen, Yan Zhang, Wan Li   +3 more
semanticscholar   +1 more source

Does the Value Premium Decline with Investor Interest in Value?

Journal of Behavorial Finance, 2020
I approximate the interest that value investing attracts through the frequency with which terms such as “book-to-market ratio” appear in the corpus of books scanned by Google.
G. Löffler
semanticscholar   +1 more source

Is value premium sector-specific? Evidence from India

, 2020
PurposeThis paper is an attempt to explore the fact that whether the literature-promised value premium has any sector orientation. The paper tests the relationship between the value premium and Indian sectors: fast-moving consumer goods (FMCG ...
Vanita Tripathi, Priti Aggarwal
semanticscholar   +1 more source

Is There a Value Premium in Cryptoasset Markets?

Social Science Research Network, 2020
Investigating a collection of 652 cryptoassets, I find that cryptoasset returns increase with increasing active addresses to network value ratio, a proxy for the value anomaly.
Luca J. Liebi
semanticscholar   +1 more source