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The Value Spread as a Predictor of Returns / Naiping Lu, Lu Zhang.
- Format:
- Book
- Author/Creator:
- Lu, Naiping.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w11326.
- NBER working paper series no. w11326
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2005.
- Summary:
- Recent studies have used the value spread to predict aggregate stock returns to construct cash-flow betas that appear to explain the size and value anomalies. We show that two related variables, the book-to-market spread (the book-to-market of value stocks minus that of growth stocks) and the market-to-book spread (the market-to-book of growth stocks minus that of value stocks) predict returns in different directions and exhibit opposite cyclical variations. Most important, the value spread mixes information on the book-to-market and market-to-book spreads, and appears much less useful in predicting returns.
- Notes:
- Print version record
- May 2005.
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