The value spread

• 成果类型: Article
• 署名作者: Cohen, RB; Polk, C; Vuolteenaho, T
• 署名单位: Harvard University; Northwestern University; Northeastern University; Harvard University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00539
• 发表日期: 2003
• 页码: 609-641
• 关键词: risk; discount; returns

摘要

,We decompose the cross-sectional variance of firms' book-to-market ratios using both a long US. 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 profitability and persistence of valuation levels. Furthermore, this fraction appears stable across time and across types of stocks. We also show that the expected return on value-minus-growth strategies is atypically high at times when their spread in book-to-market ratios is wide.