Book-to-Market Ratio and Skewness of Stock Returns

• 成果类型: Article
• 署名作者: Zhang, Xiao-Jun
• 署名单位: University of California System; University of California Berkeley
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr-50524
• 发表日期: 2013
• 页码: 2213-2240
• 关键词: cross-section; asset prices; RISK; preference; equity; conservatism; equilibrium; performance; INVESTMENT; volatility

摘要

This study demonstrates that stocks with low book-to-market ratios, also known as glamour stocks, have significantly more positive skewness in their return distributions compared to the return distributions of value stocks with high book-to-market ratios. The premium (discount) investors apply to these glamour (value) stocks also correlates significantly with the difference in return skewness. These findings suggest that the value/glamour-stock puzzle is partially explained by investor preference for positive skewness in stock returns. Such preference for skewness, which is consistent with investors having inverse S-shaped utility functions, is observed in such consumer behaviors as lottery purchases and gambling. This paper further documents significant predictive power of accounting-based measures, such as the book rate of return, with respect to the skewness of stock returns.