Journal of Finance
1952 1956 1957 1959 1962 1964 1968 1969 1970 1972 1973 1974 1975 1976 1977 1978 1979 1980 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007
Выпуск N1 за 2003 год
The value spread [статья]
Опубликовано на портале: 02-10-2003
Randolph B. Cohen, Christopher Polk, Tuomo Vuolteenaho
Journal of Finance.
2003.
Vol. 58.
No. 1.
P. 609-641.
Authors 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 (20-25 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. They also showed 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.

