@ARTICLE{18887605_2003,
author = {Cohen, Randolph B. and Polk, Christopher and Vuolteenaho, Tuomo},
keywords = {cross-sectional variation, time series, value spread},
title = {The value spread},
journal = {Journal of Finance},
year = {2003},
month = {},
volume = {58},
number = {1},
pages = {609-641},
url = {http://ecsocman.hse.ru/text/18887605/},
publisher = {},
language = {ru},
abstract = {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. },
annote = {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. }
}