The value premium

• 成果类型: Article
• 署名作者: Zhang, L
• 署名单位: University of Rochester
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2005.00725.x
• 发表日期: 2005
• 页码: 67-103
• 关键词: CROSS-SECTIONAL TEST; Book-to-market; stock-market; Optimal investment; returns; RISK; time; dividend; COSTS; MODEL

摘要

The value anomaly arises naturally in the neoclassical framework with rational expectations. Costly reversibility and countercyclical price of risk cause assets in place to be harder to reduce, and hence are riskier than growth options especially in bad times when the price of risk is high. By linking risk and expected returns to economic primitives, such as tastes and technology, my model generates many empirical regularities in the cross-section of returns; it also yields an array of new refutable hypotheses providing fresh directions for future empirical research.