The Value Premium

被引:23
|
作者
Fama, Eugene F. [1 ]
French, Kenneth R. [2 ]
机构
[1] Univ Chicago, Booth Sch Business, Chicago, IL USA
[2] Dartmouth Coll, Tuck Sch Business, Hanover, NH USA
来源
REVIEW OF ASSET PRICING STUDIES | 2021年 / 11卷 / 01期
关键词
CROSS-SECTION; RETURNS;
D O I
10.1093/rapstu/raaa021
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Value premiums, which we define as value portfolio returns in excess of market portfolio returns, are on average much lower in the second half of the July 1963-June 2019 period. But the high volatility ofmonthly premiums prevents us from rejecting the hypothesis that expected premiums are the same in both halves of the sample. Regressions that forecast value premiums with book-to-market ratios in excess of market (BM-BMM) produce more reliable evidence of second-half declines in expected value premiums, but only if we assume the regression coefficients are constant during the sample period.
引用
收藏
页码:105 / 121
页数:17
相关论文
共 50 条
  • [1] The value premium
    Zhang, L
    [J]. JOURNAL OF FINANCE, 2005, 60 (01): : 67 - 103
  • [2] Premium pricing: Understanding the value of premium
    Allsopp, Jamie
    [J]. JOURNAL OF REVENUE AND PRICING MANAGEMENT, 2005, 4 (02) : 185 - 194
  • [3] The investment value of the value premium
    Brailsford, Tim
    Gaunt, Clive
    O'Brien, Michael A.
    [J]. PACIFIC-BASIN FINANCE JOURNAL, 2012, 20 (03) : 416 - 437
  • [4] A NEW INSIGHT INTO VALUE PREMIUM AND SIZE PREMIUM
    Deb, Soumya Guha
    Mishra, Banikanta
    [J]. IIMB MANAGEMENT REVIEW, 2019, 31 (04) : 320 - 320
  • [5] Where is the value premium?
    Phalippou, Ludovic
    [J]. FINANCIAL ANALYSTS JOURNAL, 2008, 64 (02) : 41 - 48
  • [6] The expected value premium
    Chen, Long
    Petkova, Ralitsa
    Zhang, Lu
    [J]. JOURNAL OF FINANCIAL ECONOMICS, 2008, 87 (02) : 269 - 280
  • [7] Macroeconomics and the value premium
    Jacobsen, Brian
    Lee, Wai
    [J]. JOURNAL OF ASSET MANAGEMENT, 2021, 22 (04) : 241 - 252
  • [8] Resurrecting the Value Premium
    Blitz, David
    Hanauer, Matthias X.
    [J]. JOURNAL OF PORTFOLIO MANAGEMENT, 2021, 47 (02): : 63 - 81
  • [9] The value premium and the CAPM
    Fama, Eugene F.
    French, Kenneth R.
    [J]. JOURNAL OF FINANCE, 2006, 61 (05): : 2163 - 2185
  • [10] Sources of the Value Premium
    Chinloy, Peter
    Imes, Matthew
    Liu, Wendy
    [J]. REVIEW OF PACIFIC BASIN FINANCIAL MARKETS AND POLICIES, 2023, 26 (03)