| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8242 |
| 来源ID | Working Paper 8242 |
| The Value Spread | |
| Randolph B. Cohen; Christopher Polk; Tuomo Vuolteenaho | |
| 发表日期 | 2001-04-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | We decompose the cross-sectional variance of firms' book-to-market ratios using both a long U.S. panel and a shorter international panel. In contrast to typical aggregate time-series results, transitory cross-sectional variation in expected 15-year stock returns causes only a relatively small fraction (20%) of the total cross-sectional variance. The remaining dispersion can be explained by expected 15-year profitability and persistence of valuation levels. Furthermore, this fraction appears stable across time and across types of stocks. We also show that the expected return on value-minus-growth strategies is atypically high at times when the value spread (the difference between the book-to-market ratio of a typical value stock and a typical growth stock) is wide. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w8242 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/565840 |
| 推荐引用方式 GB/T 7714 | Randolph B. Cohen,Christopher Polk,Tuomo Vuolteenaho. The Value Spread. 2001. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8242.pdf（250KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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