| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15993 |
| 来源ID | Working Paper 15993 |
| Value versus Growth: Time-Varying Expected Stock Returns | |
| Huseyin Gulen; Yuhang Xing; Lu Zhang | |
| 发表日期 | 2010-05-13 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | Is the value premium predictable? We study time-variations of the expected value premium using a two-state Markov switching model. We find that when conditional volatilities are high, the expected excess returns of value stocks are more sensitive to aggregate economic conditions than the expected excess returns of growth stocks. As a result, the expected value premium is time-varying: it spikes upward in the high-volatility state, only to decline more gradually in the ensuring periods. However, out-of-sample predictability of the value premium is close to nonexistent. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w15993 |
| 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/573667 |
| 推荐引用方式 GB/T 7714 | Huseyin Gulen,Yuhang Xing,Lu Zhang. Value versus Growth: Time-Varying Expected Stock Returns. 2010. |
| 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 | ||
| w15993.pdf（317KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
