Journal of Finance
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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.
