The Value Premium
نویسندگان
چکیده
منابع مشابه
The expected value premium
Fama and French [2002. The equity premium. Journal of Finance 57, 637–659] estimate the equity premium using dividend growth rates to measure expected rates of capital gain. We apply their method to study the value premium. From 1945 to 2005, the expected value premium is on average 6.1% per annum, consisting of an expected dividend growth component of 4.4% and an expected dividend price ratio ...
متن کاملTime-Varying Beta and the Value Premium
We model conditional market beta and alpha as flexible functions of state variables identified via a formal variable selection procedure. In the post-1963 sample, beta of the value premium comoves strongly with unemployment, inflation, and price-earnings ratio in a countercyclical manner. We also uncover a novel nonlinear dependence of alpha on business conditions: It falls sharply and becomes ...
متن کاملEarnings growth volatility and the value premium
The volatility of future earnings growth is a significant determinant of Fama and French’s Value premium. We use a stochastic earnings model of firm valuation to establish a formal link between the volatility of future earnings growth and the value premium. Furthermore we empirically confirm this relationship at the macro-level.
متن کاملIs the Value Premium a Puzzle?
This paper provides an economic explanation of the value premium, differences in price/dividend ratios of value and growth assets and variance-covariance structure of their realized returns within the long-run risks model of Bansal and Yaron (2004). Consistent with time-series properties of observed cash-flow data, value firms exhibit higher exposure to low-frequency fluctuations in aggregate c...
متن کاملExploring the Link between Housing and the Value Premium
This paper shows that an equilibrium model in which heterogeneous households face housing collateral constraints can quantitatively replicate the cross-sectional variation in risk premia on stock portfolios sorted by book-to-market value. A value premium arises because (1) cash flows to growth stocks are situated farther into the future than the cash flows on value stocks, and (2) claims to far...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Journal of Finance
سال: 2005
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.2005.00725.x