The value spread

被引：202

作者：

Cohen, RB ^{[1
]}

Polk, C

Vuolteenaho, T

机构：

[1] Harvard Univ, Sch Business, Cambridge, MA 02138 USA

[2] Northeastern Univ, Kellogg Sch Management, Boston, MA USA

[3] Harvard Univ, Dept Econ, Cambridge, MA 02138 USA

[4] NBER, Cambridge, MA 02138 USA

来源：

JOURNAL OF FINANCE | 2003年 / 58卷 / 02期

关键词：

D O I：

10.1111/1540-6261.00539

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

,We decompose the cross-sectional variance of firms' book-to-market ratios using both a long US. 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 to 25 percent) 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 their spread in book-to-market ratios is wide.

引用

页码：609 / 641

页数：33

共 26 条

[1]

Asness C.S., 2000, Predicting stock returns using industry-relative rm characteristics

[2] Style timing:: Value versus growth -: Is value dead? [J].