The other side of value: The gross profitability premium

• 成果类型: Article
• 署名作者: Novy-Marx, Robert
• 署名单位: University of Rochester
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.01.003
• 发表日期: 2013
• 页码: 1-28
• 关键词: profitability; VALUE PREMIUM; factor models; asset pricing; Quality investing

摘要

Profitability, measured by gross profits-to-assets, has roughly the same power as book-to-market predicting the cross section of average returns. Profitable firms generate significantly higher returns than unprofitable firms, despite having significantly higher valuation ratios. Controlling for profitability also dramatically increases the performance of value strategies, especially among the largest, most liquid stocks. These results are difficult to reconcile with popular explanations of the value premium, as profitable firms are less prone to distress, have longer cash flow durations, and have lower levels of operating leverage. Controlling for gross profitability explains most earnings related anomalies and a wide range of seemingly unrelated profitable trading strategies. (C) 2013 Elsevier B.V. All rights reserved.