A new insight into value premium and size premium
نویسندگان
چکیده
منابع مشابه
The expected value premium
Fama and French [2002. The equity premium. Journal of Finance 57, 637–659] estimate the equity premium using dividend growth rates to measure expected rates of capital gain. We apply their method to study the value premium. From 1945 to 2005, the expected value premium is on average 6.1% per annum, consisting of an expected dividend growth component of 4.4% and an expected dividend price ratio ...
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We examine whether and to what extent consolidation in the U.S. health insurance industry is leading to higher employer-sponsored insurance premiums. We make use of a proprietary, panel dataset of employer-sponsored healthplans enrolling over 10 million Americans annually between 1998 and 2006 to explore the relationship between premium growth and changes in market concentration. We exploit the...
متن کاملIs the Value Premium a Puzzle?
This paper provides an economic explanation of the value premium, differences in price/dividend ratios of value and growth assets and variance-covariance structure of their realized returns within the long-run risks model of Bansal and Yaron (2004). Consistent with time-series properties of observed cash-flow data, value firms exhibit higher exposure to low-frequency fluctuations in aggregate c...
متن کاملTime-Varying Beta and the Value Premium
We model conditional market beta and alpha as flexible functions of state variables identified via a formal variable selection procedure. In the post-1963 sample, beta of the value premium comoves strongly with unemployment, inflation, and price-earnings ratio in a countercyclical manner. We also uncover a novel nonlinear dependence of alpha on business conditions: It falls sharply and becomes ...
متن کاملSize Premium, Distress Risk and Distress Anomaly
As documented in Fama and French (1992), small firms’ expected equity returns are usually larger than big firms.’ Notably, Fama and French (1995) attributed this return pattern, dubbed as size premium, to a notion that small firms are assigned a higher risk premium because they face greater risk of distress. However, “distress anomaly” papers including Campbell, Hilscher, and Szilagyi (2008) em...
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ژورنال
عنوان ژورنال: IIMB Management Review
سال: 2019
ISSN: 0970-3896
DOI: 10.1016/j.iimb.2019.07.004