The value premium and expected business conditions
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DOI: 10.1016/j.frl.2018.10.022
Abstract: Prior research finds no discernible relation between the realized value premium (the spread between the returns on value and growth stocks) and forecasts of real GDP growth produced by professional economists. This finding appears to… read more here.
Keywords: value premium; premium expected; expected business; business conditions ... See more keywords
Value and patience: The value premium in a dividend-growth model with hyperbolic discounting
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DOI: 10.1016/j.jebo.2020.01.028
Abstract: Abstract We show that in a consumption-based asset-pricing model with hyperbolic discounting - leading to dynamically inconsistent time preferences - the value premium increases nonlinearly with the degree of discounting and thus affects the cross… read more here.
Keywords: patience value; value; hyperbolic discounting; value patience ... See more keywords
Does the Value Premium Decline with Investor Interest in Value?
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DOI: 10.1080/15427560.2020.1716232
Abstract: Abstract I approximate the interest that value investing attracts through the frequency with which terms such as “book-to-market ratio” appear in the corpus of books scanned by Google. Following the years in which investor interest… read more here.
Keywords: investor interest; value; interest; value premium ... See more keywords