haku: @author Polk, C. / yhteensä: 5
viite: 2 / 5
| Tekijä: | Cohen, R.B. Polk, C. Vuolteenaho, T. |
| Otsikko: | The value spread |
| Lehti: | Journal of Finance
2003 : APR, VOl. 58:2. p. 609-641 |
| Asiasana: | Cross-sectional models Stock returns Valuation |
| Kieli: | eng |
| Tiivistelmä: | The cross-sectional variance of firms' book-to-market ratios are decomposed by using both a long U.S. panel and a shorter international panel. Transitory cross-sectional variationin expected 15-year stock returns causes only a relatively small fraction (20% to 25%) of the total variance, which is contradictory to typical aggregate time-series results. Expected 15-year profitability and persistence of valuation levels explain the remaining dispersion. |
SCIMA