Value Versus Growth: Time-Varying Expected Stock Returns
نویسندگان
چکیده
منابع مشابه
Value versus Growth: Time-Varying Expected Stock Returns
Is the value premium predictable? We study time variations of the expected value premium using a two-state Markov switching model. We find that when conditional volatilities are high, the expected excess returns of value stocks are more sensitive to aggregate economic conditions than the expected excess returns of growth stocks. As a result, the expected value premium is time varying. It spikes...
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Article history: Received 26 September 2009 Received in revised form 22 March 2010 Accepted 6 April 2010 Available online 13 April 2010 In this paper, I analyze the predictability of returns on value and growth portfolios and examine time variation of the expected value premium. As a primary tool, I use the filtering technique, which accounts for time variation in expected cash flows and explic...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1270976