Is the Value Spread a Useful Predictor of Returns

Keywords

Value (mathematics), Statistics, Econometrics, Mathematics, Economics

References

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• Book-to-market ratios as predictors of market returns 1 This paper has benefited from comments fromJeffrey Pontiff — 1998
• Common risk factors in the returns on stocks and bondsEugene F. Fama, Kenneth R. French — 1993
• Long-horizon regressions: theoretical results and applicationsRossen Valkanov — 2003
• Asset prices and real investmentLeonid Kogan — 2004
• Stock Return Predictability: Is it There?Andrew Ang, Geert Bekaert — 2001
• Dividend yields and expected stock returnsEugene F. Fama, Kenneth R. French — 1988
• Book-to-Market, Dividend Yield, and Expected Market Returns: A Time-Series AnalysisS.P. Kothari, Jay Shanken — 1997
• Risks for the Long Run: A Potential Resolution of Asset Pricing PuzzlesRavi Bansal, Amir Yaron — 2004
• Stock Returns and the Term StructureJohn Y. Campbell — 1987
• Spurious Regressions in Financial EconomicsWayne E. Ferson, Sergei Sarkissian, Timothy T. Simin — 2003
• BUSINESS CONDITIONS AND EXPECTED RETURNS ON STOCKS AND BONDSEugene F. Fama, Kenneth R. French — 1989
• Cointegration and Consumption Risks in Asset ReturnsRavi Bansal, Robert F. Dittmar, Dana Kiku — 2009
• Contrarian Investment, Extrapolation, and RiskJosef Lakonishok, Robert W. Vishny, Andrei Shleifer — 1994

Cited by

• New Evidence on Conditional Factor ModelsPaulo F. Maio — 2018
• An asset pricing view on international financial integrationThomas Nitschka — 2007
• Predicting Time-Varying Value Premium Using the Implied Cost of CapitalYan Li, David T. Ng, Bhaskaran Swaminathan — 2014
• Does sensitivity to cashflow news explain the value premium on European stock marketsThomas Nitschka — 2006
• An examination of the information content of S&P 500 index changes: Analysis of systematic riskJohn M. Geppert, Stoyu I. Ivanov, Gordon V. Karels — 2011
• Return Decomposition and the Intertemporal CAPMPaulo F. Maio — 2013
• Is the Value Spread a Good Predictor of Stock Returns? UK EvidenceMaria Michou — 2009
• Expected returns on value, growth, and HMLOleg Rytchkov — 2010
• Cashflow news, the value premium and an asset pricing view on European stock market integrationThomas Nitschka — 2010
• The Value and Growth Spreads: The Recent Cases in the Japanese Stock MarketsChikashi Tsuji — 2014
• The EUA-sCER Spread: Compliance Strategies and Arbitrage in the European Carbon MarketMaria Mansanet Bataller, Julien Chevallier, Morgan Hervé-Mignucci — 2010
• The determinants of increasing equity market comovement: economic or financial integration?Lieven Baele, Pilar Soriano — 2010
• Technological Innovations and Aggregate Risk PremiumsPo‐Hsuan Hsu — 2009
• The Influence of Insider Ownership and Board Independence on the Narrative Risk ReportingRina Fadhilah Ismail, Roshayani Arshad, Suaini Othman — 2013
• Is the Value Premium a Proxy for Time-Varying Investment Opportunities? Some Time-Series EvidenceHui Guo, Zijun Wang, Robert Savickas — 2009
• Market Expectations in the Cross Section of Present ValuesBryan T. Kelly, Seth Pruitt — 2012
• Return Decomposition over the Business CycleTolga Cenesizoglu — 2014
• An Investigation of the Value Premium: The Case of Large Value Firms in JapanChikashi Tsuji — 2012
• EUA and sCER phase II price drivers: Unveiling the reasons for the existence of the EUA-sCER spreadMaría Mansanet-Bataller, Julien Chevallier, Morgan Hervé-Mignucci — 2011
• Glamour, value and anchoring on the changing P/EKeith Anderson, Tomasz Zastawniak — 2017

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