The Value Spread  

Oleh:

Cohen, Randolph B. ; Polk, Christopher ; Tuomovuolteenaho

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 2 (Apr. 2003), page 609-641.
Fulltext: p 609.pdf (328.51KB)

Isi artikel

We decompose the cross-sectional variance of ¢rms’ book-to-market ratios using botha 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 to 25 percent) of the total cross-sectional variance.The remaining dispersion can be explained by expected 15-year pro¢tability and persistence of valuation levels. Furthermore, this fraction appears stable across time and across types of stocks.We also show that the expected return onvalue-minus-growth strategies is atypically high at times when their spread in book-to-market ratios is wide.

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