Where Is the Risk in Value? Evidence from a Market-to-Book Decomposition

• 成果类型: Article
• 署名作者: Golubov, Andrey; Konstantinidi, Theodosia
• 署名单位: University of Toronto; City St Georges, University of London
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12836
• 发表日期: 2019
• 页码: 3135-3186
• 关键词: cross-section; stock-market; corporate-investment; Consumption risk; EXPECTED RETURN; AVERAGE RETURNS; DELISTING BIAS; PRICING MODEL; IMPLIED COST; cash flow

摘要

We study the value premium using the multiples-based market-to-book decomposition of Rhodes-Kropf, Robinson, and Viswanathan (2005). The market-to-value component drives all of the value strategy return, while the value-to-book component exhibits no return predictability in either portfolio sorts or firm-level regressions. Existing results linking market-to-book to operating leverage, duration, exposure to investment-specific technology shocks, and analysts' risk ratings derive from the unpriced value-to-book component. In contrast, results on expectation errors, limits to arbitrage, and certain types of cash flow risk and consumption risk exposure are due to the market-to-value component. Overall, our evidence casts doubt on several value premium theories.