Decomposing Value

• 成果类型: Article
• 署名作者: Gerakos, Joseph; Linnainmaa, Juhani T.
• 署名单位: Dartmouth College; University of Southern California; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx118
• 发表日期: 2018
• 页码: 1825
• 关键词: cross-section; AVERAGE RETURNS; DELISTING BIAS; INVESTMENT; consumption; beta

摘要

Firms move between growth and value because of changes in either size or book value of equity. The value premium is specific to variation in book-to-market that emanates from size changes. A factor based on this variation earns the entire value premium; one based on the remaining variation earns no premium. Hence, not all high book-to-market firms earn the value premium, and some low book-to-market firms earn value-like returns. Many models price portfolios sorted by size and book-to-market. None distinguish firms that earn the value premium from those that have a high book-to-market but do not earn the premium.