发布求助
文献互助 智能选刊 最新文献

Equity Premia最新文献

筛选
英文 中文
Implied Returns and the Value Premium 隐含收益与价值溢价
Equity Premia Pub Date : 2011-09-16 DOI: 10.2139/ssrn.1928900
Joseph M. Goebel
{"title":"Implied Returns and the Value Premium","authors":"Joseph M. Goebel","doi":"10.2139/ssrn.1928900","DOIUrl":"https://doi.org/10.2139/ssrn.1928900","url":null,"abstract":"Superior returns of value firms are consistent with rational expectations under costly reversibility and the countercyclical price of risk through examination of expected rates of return (k) and market risk premiums (MRP) over time. With increases in the book-to-market (B/M) ratio, both the expected rate of return (k) and expected market risk premium (MRP) generally increase. This upward trend in k and MRP appear justified as ROE (book) steadily declines with increasing B/M. Consistent with the countercyclical price of risk, k and MRP during contractions are greater than those of non-contractions. Consistent with costly reversibility, growth firms with low B/M and FATA purchase more fixed assets during both contractions and non-contractions than value firms with high B/M and FATA. Inconsistent with costly reversibility, value firms purchase more fixed assets during contractions than non-contractions","PeriodicalId":285059,"journal":{"name":"Equity Premia","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124107101","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信