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Untangling the Value Premium with Labor Shares
The Review of financial studies, 2019This paper quantifies the relative importance of labor-induced operating leverage at explaining the value premium. I extend a traditional variance decomposition methodology using labor shares to disentangle labor leverage from the value premium and ...
Andrés Donangelo
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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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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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Intangible Capital, Volatility Shock, and the Value Premium
The Financial Review, 2019This paper extends the canonical, neoclassical investment‐based asset‐pricing model through the incorporation of intangible capital and the formulation of a joint productivity distribution with economic uncertainty shocks at the firm level ...
Yongkil Ahn
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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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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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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 Across Countries
The Journal of Portfolio Management, 2011The value premium varies substantially across countries. Kim explores whether the inter-country cross-sectional variation in the value premium can be predicted by the variables known to predict the intra-country time-variation in the value premium. After examining data from 23 developed markets and 13 emerging markets between 2000 and 2010, he found ...
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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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